Banks may be reluctant to remove bad loans from their portfolios during liquidity shortfalls, giving rise to a moral hazard problem. In this paper, we analyze how liquidity shortages affect the ability of the interbank market to provide liquidity in a moral hazard setting. We distinguish two types of liquidity shocks that arise due to a deposit flight (a contraction in the deposit supply) or to a cash-flow shock (an increase in the non-performing loans). We show that the source of a liquidity shortfall is the main determinant of the decision of banks to stop lending in the interbank market, rather than the extra amount of funds that banks need to cover. An increase in the non-performing loans has more adverse effects on balance sheets than a deposit flight. We also demonstrate that competition has a dual effect on financial stability. Interbank competition enhances financial stability by reducing the liquidity provision cost, whereas credit market competition worsens financial stability by inducing banks to take riskier profiles.

在流动性短缺期间，银行可能不愿从其投资组合中删除不良贷款，从而引发了道德风险问题。在本文中，我们分析了流动性短缺如何影响银行间市场在道德风险环境下提供流动性的能力。我们区分了两种类型的流动性冲击，它们是由于存款外逃（存款供应减少）或现金流量冲击（不良贷款增加）引起的。我们表明，流动性短缺的根源是银行决定在银行间市场停止贷款的主要决定因素，而不是银行需要补足的额外资金。不良贷款的增加对资产负债表的不利影响要大于存款外逃。我们还证明，竞争对金融稳定具有双重影响。