Using U.S. bank data from 1996 to 2013, this paper studies how liquidity risk affects bank performance in financial crises. It finds that during the subprime crisis of 2007–09, liquidity risk reduced a bank’s survival probability, ROA, and net interest margin, and increased its loan-loss-provision expenses. This adverse effect was more severe for banks with lower capital ratios and higher credit risk. In contrast, there is no strong evidence that liquidity risk hurts bank performance in market crises. The results in this paper imply that liquidity risk is not merely a symptom of banks’ insolvency problems; it has an independent effect on bank performance in banking crises.

本文使用美国银行 1996 年至 2013 年的数据，研究流动性风险如何影响银行在金融危机中的表现。研究发现，在 2007-09 年次贷危机期间，流动性风险降低了银行的生存概率、资产回报率和净息差，并增加了其贷款损失准备费用。对于资本充足率较低、信用风险较高的银行，这种不利影响更为严重。相比之下，没有强有力的证据表明流动性风险会损害银行在市场危机中的表现。本文的结果意味着流动性风险不仅仅是银行破产问题的征兆；它对银行危机中的银行业绩具有独立影响。