【美联储】量化宽松、银行流动性风险管理和非银行融资：来自美国行政数据的证据-2025.4

FinanceandEconomicsDiscussionSeries

FederalReserveBoard,Washington,D.C.

ISSN1936-2854(Print)ISSN2767-3898(Online)

QE,BankLiquidityRiskManagement,andNon-BankFunding:

EvidencefromU.S.AdministrativeData

Darst,R.Matthew,SotiriosKokas,AlexandrosKontonikas,Jose-LuisPeydro,

andAlexandrosP.Vardoulakis

2025-030

Pleasecitethispaperas:

Darst,R.Matthew,SotiriosKokas,AlexandrosKontonikas,Jose-LuisPeydro,andAlexan-drosP.Vardoulakis(2025).“QE,BankLiquidityRiskManagement,andNon-BankFunding:EvidencefromU.S.AdministrativeData,”FinanceandEconomicsDiscus-sionSeries2025-030.Washington:BoardofGovernorsoftheFederalReserveSystem,

/10.17016/FEDS.2025.030

.

NOTE:StafworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstafortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.

QE,BankLiquidityRiskManagement,andNon-BankFunding:

EvidencefromU.S.AdministrativeData*

R.MatthewDarst

FederalReserveBoard

SotiriosKokas

UniversityofEssex

AlexandrosKontonikasUniversityofEssex

Jose-LuisPeydro

ImperialCollegeLondon&CEPR

AlexandrosP.VardoulakisFederalReserveBoard

April21,2025

Abstract

Weshowthattheeffectivenessofunconventionalmonetarypolicyislimitedbyhowbanksadjustcreditsupplyandmanageliquidityriskinresponsetofragilenon-bankfunding.Foridentification,weusegranularU.S.administrativedataondepositaccountsandloan-levelcommitments,matchedwithbank-firmsupervisorybalancesheets.Quantitativeeasingincreasesbankfragilitybytriggeringalargeinflowofuninsureddepositsfromnon-bankfinancialinstitutions.Inresponse,banksthataremoreexposedtothisfragilityactivelymanagetheirliquidityriskbyofferingbetterratestoinsureddeposits,whilecuttingunin-suredrates.Doingso,theyshiftawayfromuninsuredtoinsureddeposits.Importantly,ontheassetside,thesebanksalsoreducethesupplyofcontingentcreditlinestocorpo-rateclients.Thistighteningofliquidityprovisionhasrealeffects,asfirmsreliantonmoreexposedbanksexperienceareductioninliquidityinsurancestemmingfromcreditlines,leadingtolowerinvestment.Ouranalysisrevealsthatthefragilityofdepositfundingcandisruptthecomplementaritybetweendeposit-takingandtheprovisionofcreditlines.

Keywords:Bankfragility,Liquidityrisk,LiquidityInsurance,Deposits,Creditlines,Quanti-tativeEasing,QuantitativeTightening,Non-banks

*WearegratefultoAnilKashyap,BethKlee,ViralAcharya,andseminarparticipantsattheFederalReserveBoard,King’sCollegeLondon,LoughboroughUniversity,Toulouse,andVirginiaTech.WethankAraziLubisforexcellentanalyticalsupport.TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyrepresentthoseoftheFederalReserveBoard,oranyoneintheFederalReserveSystem.Allerrorsareourresponsibility.Emails:

matt.darst@

;

skokas@essex.ac.uk

;

a.kontonikas@essex.ac.uk

;

jose.peydro@

;

alexandros.vardoulakis@

.

1

1Introduction

Assetpurchasesbycentralbanksviaquantitativeeasing(QE)andtheirreversalviaquantitativetightening(QT)haveplayedanimportantroleintheconductofmonetarypolicyoperationssincetheGreatRecession(

Bernanke

,

2022

).Centralbanksfundthesepurchasesbyissuingcentralbankliabilities,knownasreserves.Theexchangeofreservesforsecuritiesalterstheportfoliocompositionoftheprivatesectorandtheriskpremiuminvestorsrequiretoholdlong-durationsecurities(

VayanosandVila

,

2021

).Yet,theeffectsofquantitativepoliciesonthefinancialsystemandtheeconomyextendbeyondthechangeinlong-termyieldsandsecuritiesprices.Assetpurchasescanaffectthesizeandcompositionoffinancialinstitutions’liabilities,resultinginanexpansionofmorefragileformsoffundingforbanks(

AcharyaandRajan

,

2024

;

Acharya,

Chauhan,Rajan,andSteffen

,

2023

).

Weshowthattheeffectivenessofunconventionalmonetarypolicyislimitedbyhowbanksadjustcreditsupplyandmanageliquidityriskinresponsetofragilenon-bankfunding.OurmaincontributionshowsthatbankswhoaremoreexposedtoQE-inducedfundingfragilityactively,andsimultaneously,managetheirdepositliabilitiesandloancommitmentstoreduceliquidityrisk.Ontheliabilitiesside,moreexposedbanksincrease(decrease)theratesofferedoninsured(uninsured)deposits,whichfacilitatesashiftfromuninsuredtoinsureddeposits.Ontheassetside,theyreducethesupplyofcontingentcreditlinestofirms.Importantly,therelativelylowerliquidityinsuranceprovidedtofirmsviacommittedlinesofcredithasrealeffectsandresultsinlessfirminvestment.Tothatextent,ouranalysisuncoversnovelresultsonthedocumentedcomplementaritybetweendepositfundingandbank-providedliquidityinsurance,highlightingunintendedconsequencesofquantitativepolicies.Tosupportourempiricalresults,weextendthemodelof

Kashyap,Rajan,andStein

(

2002

)byintroducingrunnabledepositsakinto

Diamond

andKashyap

(

2016

)andshowthatdepositfragilitycandisruptthecomplementaritiesbetweendeposit-takingandcredit-lineissuance.Tothebestofourknowledge,thisisthefirstevidenceshowingthatthe

Kashyapetal.

(

2002

)’sdocumentedcomplementaritymaybreakdownwhendepositinflowscomefromfragilefunding,suchasuninsuredNBFIdeposits.

WeusetwoadministrativedatasetsthatprovideconfidentialinformationonU.S.depositsandlending.First,weutilizedatafromtheComplexInstitutionLiquidityMonitoringReport

2

(FR2052a),acomponentoftheFederalReserve’ssupervisorysurveillanceprogramforliquidityriskmanagement.FR2052adatahaveuniqueadvantages,intermsofgranularityandfrequency,comparedtopubliclyavailableregulatorybankfilings.Thedataaredailyormonthly,provideinformationaboutdepositcounterparty-types,includingNBFIs,andindicatewhetherdepositsareinsuredoruninsuredaswellastheirmaturity.Second,weusegranularinformationaboutbankloancommitmentsfromFRY-14Q,quarterlycollectedbytheFederalReserveaspartoftheComprehensiveCapitalAssessmentandReview(CCAR)stresstestingprocess.Thedataincludethetypeofloan(termloanorcreditline),totalloancommitmentandutilizedamounts,pricinginformationaswellasinformationaboutfirms’investment,whichallowsustoexaminetherealeffectsoftheQE-inducedfragility.Importantly,ourdatacoversbothpublicandprivatefirms.ThedepositsandlendingdatasetsaresupplementedwithCallReportsinformationonbankcharacteristicsanddepositsratedatafromRateWatch.Theresultingrichgranulardatasetiscombinedwithamulti-stageempiricalapproachtoestimatetheresponseofdepositsandlendingoutcomestofundingfragility,stemmingfromunconventionalmonetarypolicy.

Howdoesanincreaseinuninsureddepositfundinginfluencebankstrategiesformanagingassetsandliabilities?Answeringthisquestionischallengingduetotheendogenouslinksbetweenbankassetsandliabilities.Bankssimultaneouslyoriginateloansandcreateuninsureddemanddeposits,particularlywhenloansizesexceeddepositinsurancelimits.Moreover,whenissuingcreditlines,theygeneratecontingentclaimsonliquidity.Ournovelidentificationstrategyex-ploitsthefactthatCOVID-drivenQEledtoasurgeinnonbankdeposits,alteringthefundingcompositionofbanksthatweremoreexposedtononbanksbeforethepandemic.Thisvariation,exogenoustobothCOVIDandtheQEresponse,allowsustoisolatetheimpactofanexter-nalfundingshock.Crucially,thesedepositinflowswerenotinherentlyrelatedtobanks’loanoriginationorliabilitymanagementdecisions,butstemmedfromchangesinnon-bankliquidityholdings.Thisenablesustostudyhowbanksadjustedtheirbalancesheetsinresponsetoanexogenousshocktofundingfragility.

ToensurethatourempiricalstrategyisnotconfoundedbyexistingdifferencesbetweenbankswithdifferentlevelsofexposuretoNBFIfunding,weassessbalancestatisticscomparabilityacrosskeycharacteristicsbeforetheonsetofQE(

RobertsandWhited

,

2013

;

ImbensandWooldridge

,

2009

).Ouranalysisconfirmsthat,apartfromdifferencesintotaluninsureddepositsandtotal

3

NBFIdeposits,bankswereotherwisesimilarintermsofsize,capitallevels,loancomposition,andassetholdings.Thiscomparabilitystrengthensthevalidityofourapproach,ensuringthattheobservedresponsestoQE-inducedfragilityreflectasystematicreactiontofundingriskratherthanpre-existingstructuraldifferencesacrossbanks.Inaddition,wecontrolfordifferentsetsoffixedeffects,takingadvantageofthegranularityinourdata,totackleunobservedheterogeneity.

Weprovidefourkeyresults.First,weshowthatthemoreexposedbanksexperienceahigherinflowofuninsuredNBFIdepositsduringQE.Thisresultisrobusttocontrollingfor,amongothers,(i)banksizeandthepresenceofGlobalSystemicallyImportantBanks(GSIBs);(ii)forotherpolicyinterventionsduringthisperiod,namelytherelaxationandre-activationoftheSupplementaryLeverageRatio(SLR);and(iii)fordraw-downsofcreditlinesbyNBFIs,whichwouldmechanicallypushtheirdepositsup.Moreover,weconfirmtherewasnopre-trenddifferenceinNBFIdepositsbetweenmoreandlessexposedbanks.

Second,weshowthatmoreexposedbanksactivelymanagetheliquidityriskoftheirdepositliabilities.Relativetolessexposedbanks,moreexposedbanksreducebothnon-NBFIuninsureddepositsandtotaluninsureddeposits.Hence,theyovercompensatefortheinfluxoffragileNBFIfundingbyreducingothersourcesoffragilefunding.Inaddition,moreexposedbanksincreasetheirinsureddepositsmore,makingupforthedecreaseinuninsureddeposits.Importantly,weshowthattheshiftfromuninsuredtoinsureddepositconstituteactiveliquidityriskmanagementbytheexposedbanks.Resultsfromtheanalysisofdepositratessuggestthatmoreexposedbanksincreasethedepositratesofferedforinsureddeposits,whiledecreasingtheremunerationofuninsureddeposits,consistentwithanefforttoreduceexposuretofundingfragility.Thus,theactivereshufflingandrepricingofdepositliabilitiessuggestthatbanksstrategicallymanagetheirfundingstructure,consistentwithabank-drivenadjustmenttomitigateliquidityrisk.

Third,weshowthatthemoreexposedbanksdecreasethecreditlinestofirmsrelativetolessexposedbanks.Notethatcredit-linecommitmentsincreasedforbothtypesofbanksduringtheQEandtheinflowofreserves.However,ourgranulardataandthenovelidentificationofQEexposureallowsustocapturethedifferentialeffect.Bycontrast,thereisnosignificantdifferenceinthetermloansofferedbymoreandlessexposedbanks.Zoominginthecredit-linesub-components,thereductionisassociatedwiththeundrawncreditlineamount,whilethereisnodifferencewithrespecttocredit-lineutilizationbetweenthemoreandlessexposedbanks.

4

Hence,themoreexposedbankseffectivelymanagetheliquidityriskontheirloanexposuresbyreducingtheclaimstofutureliquidityand,thus,decreasingthepossibilityofdoublerunswherebybothdepositorswithdrawtheirdepositsandfirmsdrawdownontheircreditlines.

1

Thisresultisintuitivebutmaynotappeartobeinlinewithexistingresultsonthecomple-mentaritiesbetweendeposittakingandtheissuanceofcreditlines.WecorroborateourempiricalfindingsbyextendingthetheoreticalmodelinKashyap,Rajan,andStein(2002)tointroducerunnabledepositsakinto

DiamondandKashyap

(

2016

).Theintuitionissimple.Liquidityriskmanagementwithrunnabledepositsrequiresconsideringoff-equilibriumwithdrawals,notjustwithdrawalsexpectedinequilibrium.Thus,abankneedstoguaranteeithasenoughliquidityalsoinoff-equilibriumpathswithmoreexpensivenon-depositfunding.Doingsomaynotbeprofitableunderhighdepositfragilityresultinginareductionintheissuanceofcreditlines.

Fourth,weshowthattherelativereductioninliquidityinsuranceofferedbythemoreex-posedbankshasaggregateimplications.Althoughfirms’accesstocurrentcreditisnotaffected,thosefirmsthathavemorelendingrelationshipsbeforethePandemicQEwithexposedbanksexperienceareductionintheamountofliquidityinsurancetheyenjoyagainstfutureshocks.Thisreductionresultsinrelativelylowerinvestmentbyexposedfirms.

2

Relatedliterature.Ourmaincontributionstotheliteratureare(i)todemonstratethatlimitsintheeffectivenessofunconventionalmonetarypolicycanariseduetoanincreaseindepositfragilityandtheassociatedliquidityriskmanagementof(moreexposed)banksbothontheirdepositsandcreditsupply,and(ii)toshowhowthedocumentedcomplementaritybetweendeposit-takingandtheprovisionofliquiditytofirmsmaybreakdown.Ourpaperrelatestothreemainstrandsoftheliterature.

First,weshowthatbankliquidityriskmanagementlimitstheeffectsofunconventionalmonetarypolicy.Inadditiontotheaforementionedseminalpaperby

Kashyapetal.

(

2002

),

Hanson,Shleifer,Stein,andVishny

(

2015

)examinehowfundingfragilityinteractswiththeholdingsofliquidassetsinfinancialinstitutions,focusingonthedistinctionbetweenbankswithinsureddepositsandnon-bankswithrunnableliabilities.

3

Instead,westudytheeffectof

1See

Ippolito,Peydr´o,Polo,andSette

(

2016

).

2See

Holmstro…mandTirole

(

1998

)forthelinkbetweenliquidityinsuranceviacreditlinesandfirm’sinvestment.

3Empiricalsupportforsuchcomplementaritiescomesfromstudiesshowingthatduringepisodesofmarketstress,depositinflowsandcreditlinedrawdownsarenegativelycorrelated(

GatevandStrahan

,

2006

;

Gatev,

5

bankdepositfragilityonbankliquidityriskmanagementandcreditsupplytofirms.4Ippolito

etal.(2016)studybanks’liquidityriskmanagementinthepresenceofdoublerunsdueto

ajointwithdrawalofinterbankfundingandcredit-linedraw-downsduringthe2007freezein

theEuropeaninterbankmarket.Theyfindthatbankswithhigherinterbankborrowingbefore

theshockalsoextendedfewercreditlinestofirms.()presentsimilarAcharyaandMora2015

dynamicswhenbanksgetrunupon:bankswithhigherliquidityriskintheonsetoftheGFC

experiencedlowerdepositgrowthandcutbankonnewcreditoriginations.Wedifferbystudying

howbanksactivelymanagetheirassetsandliabilitiesinresponsetoaquasi-exogenousshock

intheirfundingfragility.Moreover,ourpaperstudiestheinteractionofquantitativemonetary

policesandbankfragility.()studyhowbanksCooperman,Duffie,Luck,Wang,andYang2023

adjusttheirprovisionofcreditlineswhentheeffectivecostoffundingthemgoesup:banksare

lesswillingtoprovidecreditlinesexantewhenthelendingrateuponwithdrawalisnotalsorisk

sensitive,whichisanincreaseineffectivefundingcosts.Ourmechanismisdifferentbecausewe

focusontheimpactoffundingfragilityratherthaneffectivefundingcost.Moreover,wealso

examinehowbanksactivelyadjusttheirbalancesheetstomanageliquidityrisk.5

Second,werelatetotheliteratureontheeffectsofunconventionalmonetarypolicy.Acharya

andRajan2024Acharyaetal2023()and.()linkQEtopersistentbankfragilityviathecreation

ofuninsureddeposits,whichisasteppingstoneforouranalysis(seealsoJoyce,Miles,Scott,and

Vayanos2012,).Weshowthattheeffectsofunconventionalmonetarypolicyarelimitedthrough

depositriskmanagementandthesupplyofnewcredit.Weusegranularadministrativedata

toshowhowuninsureddeposits—particularlyfromNBFIs—areheterogeneouslyinjectedinthe

bankingsystemandhowbanksactivelymanagetheirdepositliabilitiesandloancommitments

inresponsetothisfragility;thisisotherwisehardtoteaseoutfrommoreaggregateddatadueto

Schuermann,andStrahan

,

2009

).

4Ourpaperalsoanalyzescreditsupplyandtheassociatedrealeffects,hencecontributingtothelargeliteratureontherealeffectsofcreditsupply.Forexample,

Chodorow-Reich

(

2013

)studieshowanadverseshockinbankcapitalaffectscreditsupplyandsubsequentrealoutcomes.Wedifferintwoways.First,westudytheeffectsoftheexantebuild-upinfundingfragilityratherthananexpostshocktocapital.Second,weholisticallyexplorehowbanksmanageliquidityriskonbothsidesoftheirbalancesheet.

5WealsocontributetorecentstudiesonthebehaviorofcreditlinesanddepositsduringthePandemic.

Li,

Strahan,andZhang

(

2020

)and

Acharya,Engle,Jager,andSteffen

(

2024

)showthatfirmsmassivelydrewdownontheirlinesofcreditattheoutbreakofthepandemickeepingthefundsasdepositsatbanks,while

Levine,

Lin,Tai,andXie

(

2021

)suggestthattheincreaseindepositsalsoaccruedfromaflight-to-safetymotive.WecomplementthisanalysisbyshowingthattheQE-inducedfragilitydidnotdifferentiallyaffectthedraw-downsofcreditlinesandtotaldepositsacrossexposedbanks,butratheraffectedtheundrawnamountsandthemixbetweenuninsuredandinsureddeposits.

6

asimultaneousincreaseindepositsandcreditlinesacrossbanks.Importantly,ourdataallows

ustodistinguishbetweenutilizedandundrawncredit-linesatthebank-firmlevel,whichisnotpossiblewithpubliclyavailableregulatorydata.Thisdistinctionallowsustocontrolforcreditdemandandisolatethecreditsupplyeffectonbankprovided(contingent)liquidityinsurance.

Pre-PandemicstudiesofQEfocusontheassetswapchannel—exchangingreservesforsecuri-tiesontheassetsideofbanksbalancesheets—thatdonotinvolvecreatingfragilebankdeposits.Forexample,

RodnyanskyandDarmouni

(

2017

)showsthatbankswithhigherexanteholdingsoftheQE-purchasedsecuritiesincreaselendingrelativelymoreafterQE.

DiMaggio,Kermani,

andPalmer

(

2019

)showshowQEfacilitatedtherefinancingofmortgagedebtbyhouseholds,whichreducedinterestexpensesandsupportedaggregateconsumption.

WealsorelatetopapersstudyingtheunintendedconsequencesofQE.

Chakraborty,Gold-

stein,andMacKinlay

(

2020

)demonstratehowbanksmayshifttheirportfoliostowardssecuritiespurchasedbycentralbanks,suchasmortgages,andawayfromC&Iloans.Thisparticularprofitseekingmechanismismitigatedinouranalysisbytwofacts:First,priortoQE,thereisnosignificantdifferenceinmortgageandC&IlendingamongbanksthataremoreorlessexposedtoNBFIuninsureddeposits.Second,mostpandemic-QEpurchaseswereTreasuriesratherthanmortgages.

Diamond,Jiang,andMa

(

2024

)showthatlargeinjectionofcentralbankreserveshastheunintendedconsequenceofcrowdingoutbankloans,duetobankbalancesheetcosts.

Third,ourworkcontributestoagrowingstrandoftheliteraturethathighlightstheincreasinginterdependencebetweenbanksandNBFIs.Relativetobanks,NBFIshavegrownsignificantlysincetheGFCbutremainlightlyregulated(

Acharya,Cetorelli,andTuckman

,

2024

;

Irani,Iyer,

Meisenzahl,andPeydro

,

2021

).TheconnectionsbetweenbanksandNBFIscanoperatethroughbothassetsandliabilities.Fromalendingperspective,severalstudiesshowthatNBFIsactasshockabsorbers,byfillingthespaceleftbybanksduringperiodsofmonetarypolicytightening(

Elliott,Meisenzahl,andPeydr´o

,

2024

;

Chen,Ren,andZha

,

2018

).Ourpapercontributestothisstrandoftheliteraturebyanalyzingadifferentchannelofinteraction,focusingonthebanks’fundingdependencyonNBFIs.

7

2DataandEmpiricalStrategy

Thissectiondescribesthedatasetsusedinouranalysis,providesbackgroundontheinstitutionalcontext,andpresentskeydescriptivestatistics.Inturn,weintroduceourempiricalstrategy.

2.1Datasets

Ouranalysisreliesmainlyontwoadministrativelymatcheddatasets.TodocumenttheeffectsofQEonNBFIuninsureddepositsandbankfundingfragility,weusegranulardataondepositaccountsatthecounterparty-banklevelforalllargeU.S.BHCs.Wesupplementthisdatawithinformationonbankbalancesheets.Toinvestigatehowdepositinflowsaffectbanklending,weuseU.S.administrativebank-firmmatcheddataattheloan-levelcontainingfirm-levelbalancesheetinformation.Insum,ourdepositdatasetcomprisesmonthlyobservationsofindividualdepositaccountsreportedby29banks,coveringJanuary2016toFebruary2023.

6

Ourcreditdatasetconsistsofquarterlyobservationsoftermloansandcreditlinesextendedbythesame29banksto120,797non-financialfirms,spanningfrom2016Q1through2022Q4.

7

Forbrevity,throughoutthepaper,werefertobankholdingcompanies(BHCs)simplyasbanks.Thissub-sectiondescribeseachdatasetandoutlinesthemainsampleselectioncriteria.

Depositdata.OurprimarydatasetfordepositsistheComplexInstitutionLiquidityMoni-toringReport,commonlyreferredtoastheFR2052a,whichmonitorstheliquidityprofilesofsignificantU.S.BHCs.TheFR2052adatacollectionbeganinDecember2015,initiallycoveringGlobalSystemicallyImportantBanks(GSIBs)andforeignbankingorganizations(FBOs)withsubstantialU.S.broker-dealeroperations.InJuly2017,thedatasetexpandedtoincludealargersetofbanks.Thisdatasetofferstwodistinctadvantagesoverpubliclyavailableregulatoryfil-ingssuchastheFRY-9C.First,itprovidesgranularbreakdownsofbanks’assetsandliabilitiesbymaturity,collateral,anddepositortype(counterparty),allowingustodocumentpreviouslyunexploredaspectsofU.S.banks’fundingstructuresanddepositorexposure.Second,itoffershigher-frequencyreporting:bankswith$700billionormoreintotalconsolidatedassetsor$10

6OursampleperiodendsinFebruary2023toexcludethepotentialdistortionsfromtheMarch2023bankingturmoilintheUnitedStates.

7ThecompletedetailsofthedatacleaningprocedurecanbefoundinAppendix

C

.

8

trillionormoreinassetsundercustodysubmitdailyreports,whereasbankswithassetsbetween

$50billionand$700billionreportmonthly.Toensureconsistencyacrossbankswithdifferentreportingfrequencies,weharmonizethedatabyaggregatingdailyobservationsintomonthlyaverages,aligningthemwiththereportingfrequencyoftheremainingbanks.InAppendix

C

,Table

OA2

providesadetailedlistofbanksalongwiththeirrespectivereportingschedules.Ad-ditionally,FR2052aexplicitlyidentifiesinsuredversusuninsureddeposits,facilitatingapreciseanalysisofliquidityriskstemmingfrombanks’fundingsources.

8

WefurthersupplementourdepositdatasetwithdepositrateinformationfromRatewatch–S&PGlobal,whichprovidesdetailedinterestratesofferedbybanksacrossvariousdepositcategories.Thiscomplementarydatasetenablesustodirectlyexaminehowbanksadjustdepositpricingstrategiesinresponsetochangingliquidityconditions.

Loan-LevelDataOuranalysisofbanklendingutilizesdetailedloan-leveldatafromtheFed-eralReserve’sFRY-14QH.1,collectedquarterlyaspartoftheComprehensiveCapitalAnal-ysisandReview(CCAR).FRY-14Qcollectsdetailedinformationonbankholdingcompanies’(BHCs),savingsandloanholdingcompanies’(SLHCs),andU.S.intermediateholdingcompa-nies’(IHCs)offoreignbankorganizations(FBOs)onaquarterlybasis.

9

WeusetheCorporateLoanH.1.Schedulecomprisingtwosections:(1)theLoanandObligorDescriptionsection,providingdetailedcharacteristicsofeachloanandborrower;and(2)theObligorFinancialDatasection,whichincludesborrowers’balancesheetsandincomestatements.Facility-leveldatainclude,amongmuchmore,totalcommittedandutilizedamounts,pricingandspreaddetails,originationandmaturitydates,andcollateralinformation.

2.2InstitutionalContext

ThePandemicQE,whichcommencedinMarch2020andendedinMarch2022,wasthelargestexpansionintheFederalReserve’shistory.Moreover,itledtosignificantchangesinthebalancesheetsizeandcompositionofboththeFedandthebankingsystem.Ouranalysisstartswiththeobservationthatnotallfinancialinstitutionscanholdreserves,whichhasimportantimplications

8Appendix

B

explainstheselectionrulesweimposetoavoidbiasesinoursample.

9DataarecollectedforBHCs,SLHCsandIHCswithatleast$50billion($100billionstartingfrom2019)intotalassets.BanksthatsubmitFRY-14Qcompriseover85percentofthetotalassetsintheU.S.bankingsector.

9

fortheconductofquantitativepolicies.Supposefirstthatthecentralbankpurchasessecuritiesdirectlyfrombanksthatcanholdreserves.Then,QEispurelyanassetswap(reservesforsecurities).Nowsupposethatthecentralbank’scounterpartyisanon-bankfinancialinstitution(NBFI)thatcannotholdreservesoutright.Inthiscase,thetradebetweenthecentralbankandtheNBFIisintermediatedbybanks.BankssourcethesecuritiesfromNBFIstoselltothecentralbank,usetheproceedstocreditNBFIs’depositaccounts,andreceivereservesfromthecentralbank.Inpractice,NBFIsexchangesecuritiesforbankdeposits.Giventhescale