The crisis of 2007–2009 has shown that financial market turbulence can lead to huge
funding liquidity problems for banks. This paper provides empirical evidence on banks'
responses to market funding shocks, using data of seventeen of the largest Dutch banks
over the period January 2004–April 2010. The dynamic interrelations among instruments of
bank liquidity management are modelled in a panel Vector Autoregressive (p-VAR)
framework. Orthogonalized impulse responses reveal that banks respond to a negative …