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The drivers of US banks’ demand of government securities
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Orientador(es)
Resumo(s)
We use individual bank balance sheet data to investigate those bank-specific
characteristics that are relevant to explain US banks’ demand of two groups of
government securities: Agencies and Treasuries. We conclude that some drivers but not
all are common. Higher holdings are associated with poorer loan portfolio quality in both
cases. Agencies also respond positively to lower margins, a contracting economic cycle,
sub-par regional dynamics and less clearly higher business cycle risk. Treasuries alone
are positively impacted by the erosion of the capital position. Variables such as the loan
rate spread, past profitability, or income diversification fail to be significant. We find no
direct impact of unconventional monetary policy in Agencies and the impact on
Treasuries seems time-bounded and bank entity specific. Our finding suggest that it will
be mainly up to other investors than banks to replace the Fed as it reduces its balance
sheet.
Descrição
Palavras-chave
Sovereign Debt Portfolio Choice Banks Monetary Policy Panel data
Contexto Educativo
Citação
Ferreira, Carlos Alberto Piscarreta Pinto (2024). "The drivers of US banks’ demand of government securities". REM Working paper series, nº 0336/2024
Editora
ISEG – REM (Research in Economics and Mathematics)