IDEAS home Printed from https://ideas.repec.org/p/ise/remwps/wp03362024.html
   My bibliography  Save this paper

The Drivers Of Us Banks’ Demand Of Government Securities

Author

Listed:
  • Carlos Alberto Piscarreta Pinto Ferreira

Abstract

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.

Suggested Citation

  • Carlos Alberto Piscarreta Pinto Ferreira, 2024. "The Drivers Of Us Banks’ Demand Of Government Securities," Working Papers REM 2024/0336, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    • Handle: RePEc:ise:remwps:wp03362024
    as

    Download full text from publisher

    File URL: https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_0336_2024.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Sovereign Debt; Portfolio Choice; Banks; Monetary Policy; Panel data.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ise:remwps:wp03362024. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sandra Araújo (email available below). General contact details of provider: https://rem.rc.iseg.ulisboa.pt/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.