Depositor Behavior under Macroeconomic Risk: Evidence from Bank Runs in Emerging Economies


  • The paper was first revised while Schmukler was visiting the IMF Research Department. We are extremely grateful to Deborah Lucas (the editor) for very detailed and valuable comments and suggestions. We also received useful comments from Charlie Calomiris, Laura Kodres, David Llewellyn, Andrew Powell, Roberto Rigobón, Solomon Tadesse, Anjan Thakor, an anonymous referee, and participants at presentations held at the Bank for International Settlements (Basle, Switzerland), the Chicago Federal Reserve Bank (Chicago), the IMF (Washington, DC), the Latin American Econometric Society Annual Meetings (Santiago, Chile), the LACEA Annual Meetings (Puebla, Mexico), and the World Bank (Washington, DC). Francisco Ceballos, Juan Miguel Crivelli, Federico Droller, Marina Halac, Mercedes Politi, Aleksandar Zaklan, and, particularly, Juan Carlos Gozzi Valdez provided truly outstanding research assistance. We are grateful to Francisco Gismondi, Claudio Irigoyen, Luciana Ríos-Benso, and Hernán Rodriguez, from the Central Bank of Argentina, and José Antonio Licandro, Jorge Polgar, and Martín Vallcorba, from the Central Bank of Uruguay, for their help with the data and the understanding of the banking crisis in each country. The views expressed in this paper are entirely those of the authors and do not necessarily represent the views of the World Bank.


Depositor behavior has been associated with bank-specific characteristics, random runs, or contagion episodes. Using evidence on the 2000–02 bank runs in Argentina and Uruguay, this paper shows that macroeconomic risk is also important. Few macroeconomic shocks can quickly cause large runs. Macroeconomic risk affects deposits regardless of traditional bank-specific characteristics. Furthermore, bank exposure to macroeconomic factors can explain differences in deposit withdrawals. During crises, the evolution of bank-specific characteristics is mainly driven by macroeconomic factors, while the informational content of bank-specific variables declines. Overall, depositors seem responsive to risk in a broader sense than that often considered by the literature.