The drivers of US banks’ demand of government securities

Bibliographic Details
Main Author: Ferreira, Carlos Alberto Piscarreta Pinto
Publication Date: 2024
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.5/95482
Summary: 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.
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spelling The drivers of US banks’ demand of government securitiesSovereign DebtPortfolio ChoiceBanksMonetary PolicyPanel dataWe 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.ISEG – REM (Research in Economics and Mathematics)Repositório da Universidade de LisboaFerreira, Carlos Alberto Piscarreta Pinto2024-11-20T15:33:45Z2024-072024-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/95482engFerreira, Carlos Alberto Piscarreta Pinto (2024). "The drivers of US banks’ demand of government securities". REM Working paper series, nº 0336/20242184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-17T16:27:57Zoai:repositorio.ulisboa.pt:10400.5/95482Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T04:15:44.805660Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv The drivers of US banks’ demand of government securities
title The drivers of US banks’ demand of government securities
spellingShingle The drivers of US banks’ demand of government securities
Ferreira, Carlos Alberto Piscarreta Pinto
Sovereign Debt
Portfolio Choice
Banks
Monetary Policy
Panel data
title_short The drivers of US banks’ demand of government securities
title_full The drivers of US banks’ demand of government securities
title_fullStr The drivers of US banks’ demand of government securities
title_full_unstemmed The drivers of US banks’ demand of government securities
title_sort The drivers of US banks’ demand of government securities
author Ferreira, Carlos Alberto Piscarreta Pinto
author_facet Ferreira, Carlos Alberto Piscarreta Pinto
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Ferreira, Carlos Alberto Piscarreta Pinto
dc.subject.por.fl_str_mv Sovereign Debt
Portfolio Choice
Banks
Monetary Policy
Panel data
topic Sovereign Debt
Portfolio Choice
Banks
Monetary Policy
Panel data
description 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.
publishDate 2024
dc.date.none.fl_str_mv 2024-11-20T15:33:45Z
2024-07
2024-07-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/95482
url http://hdl.handle.net/10400.5/95482
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Ferreira, Carlos Alberto Piscarreta Pinto (2024). "The drivers of US banks’ demand of government securities". REM Working paper series, nº 0336/2024
2184-108X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG – REM (Research in Economics and Mathematics)
publisher.none.fl_str_mv ISEG – REM (Research in Economics and Mathematics)
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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