NBER-破坏稳定的数字“银行漫步”（英）

NBER WORKING PAPER SERIESDESTABILIZING DIGITAL "BANK WALKS"Naz KoontTano SantosLuigi ZingalesWorking Paper 32601http://www.nber.org/papers/w32601NATIONAL BUREAU OF ECONOMIC RESEARCH1050 Massachusetts AvenueCambridge, MA 02138June 2024We thank our discussants, Mark Egan, Bill English, Thomas Philippon, Maryam Farboodi, and Sarin Schuermann, and participants to the 2023 Summer NBER, the 2024 Five Star Conference, and seminars at University of Maryland, the OCC, the Chicago Fed, Yale Law School, and the IESE Workshop on Banking Turmoil and Regulatory Reform. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.© 2024 by Naz Koont, Tano Santos, and Luigi Zingales. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source.Destabilizing Digital "Bank Walks"Naz Koont, Tano Santos, and Luigi ZingalesNBER Working Paper No. 32601June 2024JEL No. G21ABSTRACTWe study the impact of digital banking on the value of the deposit franchise and the stability of the banking sector. Using the classification of digital banking in Koont (2023), we find that when the Fed funds rate increases, deposits flow out faster, and the cost of deposits increases more in banks that offer a mobile app and brokerage services. Using the model of Drechsler et al. (2023b), we find that correcting for digital betas and deposit outflows results in a deposit franchise value that is 14-22%lower for digital-broker banks relative to traditional banks. Moreover, we find that digital-broker banks’ deposit franchise values increase by less when interest rates rise, serving as less of a hedge. We apply this analysis to the case of Silicon Valley Bank (SVB) and find that the reduced value of the deposit franchise can explain why SVB was insolvent in early March 2023, even before the bank run occurred.Naz KoontColumbia Business Schoolnazkoont@gmail.comTano SantosGraduate School of BusinessColumbia University3022 Broadway, Uris Hall 414New York, NY 10027and NBERjs1786@columbia.eduLuigi ZingalesBooth School of BusinessThe University of Chicago5807 S. Woodlawn AvenueChicago, IL 60637and NBERluigi.zingales@ChicagoBooth.edu1IntroductionBanks are in the business of maturity transformation (Diamond and Dybvig, 1983; Kashyap etal., 2002; Hanson et al., 2015), which exposes them to liquidity and interest rate risk. One ofthe main reasons why banks can bear this risk is that deposits are “sticky”, i.e. they are notvery sensitive to movements in interest rates (Drechsler et al., 2021). This stickiness of depositsgives rise to what is referred to as a bank’s deposit franchise value, the value o