Using a large sample of U.S. commercial banks from 1994 to 2019, we find that loan fair values are highly relevant for depositor decision making. A one‐standard‐deviation decrease in loan fair value performance is associated with more than 10% lower uninsured deposit flows than the sample average. Information in fair values about loan credit quality is quite limited and cannot account for the bulk of the relevance. Instead, consistent with models of bank fragility, the relevance seems to stem more from information on the decline in loan liquidation values, triggering panic‐based withdrawals motivated by (self‐fulfilling) expectations of withdrawals by other depositors. The findings inform the cost‐benefit tradeoff of reporting loan fair values.

中文翻译：

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贷款公允价值对存款人的决策相关性


通过使用 1994 年至 2019 年美国商业银行的大量样本，我们发现贷款公允价值与储户决策高度相关。贷款公允价值表现的一个标准差下降与未保险存款流量比样本平均值低 10% 以上相关。有关贷款信用质量的公允价值信息非常有限，无法解释大部分相关性。相反，与银行脆弱性模型一致，相关性似乎更多地源于贷款清算价值下降的信息，引发了由其他储户提款（自我实现）预期引发的恐慌性提款。研究结果揭示了报告贷款公允价值的成本效益权衡。