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Who Sees What? Сorporate Deposit Flows During a Banking Crisis

We utilize high-frequency data to study heterogeneity in access to bank-level information by corporate depositors during a banking crisis. We examine a bank panic episode in Russia during Summer-2004 triggered by the Central Bank announcement to liquidate banks for suspicious operations. Our results support the presence of sophisticated market monitoring and discipline. Private information about bank risk is available to depositors with a strong business connection to the bank. Other depositors make withdrawals based on publicly-observable bank characteristics. All corporate depositors are susceptible to rumors floating around the banking community. However, those rumors reflect bank-risk fundamentals. Contagion effects seem to be limited.