Figure 1: Average U.S. Treasury Holdings by Bank Size, Maturity, and Accounting Method
Notes: The figure shows U.S. Treasury holdings by total bank assets and maturity, divided into positions that are listed at market prices (market value) and at
historical cost (book value). Each panel shows averages for the segment of the total asset distribution given in the title.
Notes: The figure reports average holdings of U.S. Treasuries by euro area banks. Banks are grouped by size based on total assets. Holdings are split by remaining maturity and by accounting treatment (market value versus book value). Each panel shows averages for a segment of the total asset distribution.
This figure consists of three panels corresponding to banks in the lower half of the asset distribution, the 50th–75th percentile, and the top quartile. Within each panel, U.S. Treasury holdings are broken down into four maturity buckets: less than one year, one to five years, five to ten years, and more than ten years. For each maturity bucket, holdings are further split into positions recorded at market value and positions recorded at book (historical) value. The figure shows that small and medium-sized banks hold very limited amounts of U.S. Treasuries across all maturities. In contrast, the largest banks hold substantial Treasury portfolios, with a large share concentrated at maturities longer than five years. The average holdings among the top 25 percent of banks are about 2 billion in the 5–10-year bucket and more than 3 billion in the bucket with maturities above 10 years. Most of these holdings are recorded at market value.
Figure 2: U.S. Treasury Holdings Relative to RWAs by Bank Size
Notes: Each panel of the figure shows the distribution of U.S. Treasury holdings relative to RWAs for the segment of the total asset distribution given in the title. Treasury holdings
include the market and the book value portfolio. The dashed vertical line in the right panel marks the group median.
Notes: Each panel shows the distribution of U.S. Treasury holdings divided by risk-weighted assets for banks in a given size group. The dashed vertical line indicates the group median.
This figure displays three distributions corresponding to different bank size groups. The horizontal axis measures the ratio of U.S. Treasury holdings to risk-weighted assets, while the vertical axis shows the density of banks. Among small banks, the distribution is tightly concentrated near zero, indicating minimal exposure to U.S. Treasuries. Banks in the middle size group show slightly higher ratios but still limited dispersion. In contrast, large banks exhibit a broader distribution with higher median and upper-tail values, demonstrating that Treasury holdings represent a meaningful share of regulatory capital for many large institutions.
Figure 3: Tier 1 Capital Ratio by Bank Size
Notes: Each panel of the figure shows the distribution of Tier 1 capital relative to RWAs for the segment of the total asset distribution given in the title. The dashed vertical lines mark the respective
group median.
Notes: Each panel shows the distribution of Tier 1 capital ratios for banks in a given size group. Dashed vertical lines denote group medians.
This figure presents distributions of the Tier 1 capital ratio, defined as Tier 1 capital divided by risk-weighted assets, across bank size categories. The horizontal axis reports the capital ratio, and the vertical axis reports the density of observations. Across all bank sizes, most institutions operate well above regulatory minimum requirements. Smaller banks tend to have higher median capital ratios, while larger banks display slightly lower medians but greater dispersion. The figure highlights substantial heterogeneity in capital buffers, which is central to understanding differential lending responses to LSAP-induced valuation effects.
Figure 4: Impulse Responses
Notes: The figure shows impulse responses to an LSAP shock estimated based on equation (1) together with 68-percent and 90-percent confidence bands constructed based on Neweyand West, 1987 standard errors.
Notes: The figure shows impulse responses to an LSAP shock estimated using local projections. Shaded areas denote 68-percent and 90-percent confidence intervals.
This figure contains impulse response functions tracing the dynamic effects of an expansionary LSAP shock. One panel shows the response of the slope of the U.S. Treasury yield curve, measured as the difference between ten-year and one-year yields. The second panel shows the response of the euro–dollar exchange rate, expressed as euros per U.S. dollar. The horizontal axis measures months after the shock. The yield curve slope declines, indicating a flattening, while the dollar depreciates against the euro. The exchange rate responds rapidly, whereas the yield curve response builds more gradually over time.
Figure 5: Timing of Empirical Model
Notes: The figure illustrates the timing of the empirical model for the example of bank-level observations with the reference date at the end of December.
Notes: The figure illustrates the timing of LSAP shocks, control variables, and bank-level outcomes for observations measured at semester end dates.
This schematic timeline clarifies the structure of the empirical analysis. It shows that LSAP shocks are realized before the reference date at which bank balance-sheet variables are observed. Control variables enter contemporaneously, while bank outcomes are measured after the shock. The figure helps establish the causal interpretation by showing that monetary policy innovations precede changes in bank balance sheets and lending.
Figure A.1: Number of Banks Observed
Notes: The figure shows the number of banks contained in the sample in the semester ending in the month listed.
Notes: The figure plots the number of banks included in the sample in each semester between 2010 and 2024.
This appendix figure shows a time series of the number of banks observed in each reporting period. The horizontal axis lists semesters, and the vertical axis reports the number of banks. The figure reveals fluctuations in sample size due to changes in reporting coverage, stress tests, and transparency exercises, but consistently shows broad coverage of the euro area banking sector. From 2016 onward, around 100 banks are observed in each semester.
Figure A.2: Frequency of Bank Sampling
Notes: The figure reports the frequency at which individual banks are contained in the sample.
Notes: The figure reports how often individual banks appear in the sample over the full period.
This histogram plots the number of reporting periods on the horizontal axis and the number of banks on the vertical axis. Many banks are observed in a large share of periods, supporting the panel structure of the data, while a smaller group of banks appears only intermittently due to entry, exit, or changes in supervisory coverage.
Figure A.3: U.S. Treasury Holdings Relative to Total Assets by Bank Size
Notes: Each panel of the figure shows the distribution of U.S. Treasury holdings relative to total assets for the segment of the total asset distribution given in the title.
Treasury holdings include the market and the book value portfolio. The dashed vertical line in the right panel marks the group median.
Notes: Each panel shows the distribution of U.S. Treasury holdings divided by total assets for a given size group. The dashed line marks the group median.
This figure mirrors Figure 2 but scales Treasury holdings by total assets instead of risk-weighted assets. The distributions confirm that Treasury exposures are negligible for small banks but economically meaningful for large banks. The results reinforce the finding that exposure to U.S. interest rate movements is concentrated among the largest euro area institutions.
Figure B.1: LSAP Shocks Before and After Orthogonalization
Notes: The figure shows the extended LSAP shocks from Swanson, 2021 and the same series after orthogonalization with respect to prior data releases and
autocorrelation. Both series are shown at monthly frequency. A positive shock indicates larger than expected asset purchases.
Notes: The figure summarizes regressions used to purge LSAP shocks of predictable components related to macroeconomic and financial variables.
This figure provides evidence on the construction of the orthogonalized LSAP shock. The results demonstrate that the final shock series removes predictable variation, supporting its interpretation as an exogenous measure of unconventional monetary policy.
Figure B.2: Additional Impulse Responses
Notes: The figure shows impulse responses to an LSAP shock estimated based on equation (1) together with 68-percent and 90-percent confidence bands constructed based on Newey and West, 1987 standard errors.
Notes: The figure shows impulse responses of inflation and the federal funds rate following an LSAP shock, with confidence bands.
This figure presents dynamic responses of inflation and the federal funds rate to an expansionary LSAP shock. Inflation rises gradually after the shock, indicating expansionary effects on prices. The federal funds rate increases only with a delay, reflecting endogenous policy responses to improved economic conditions rather than a direct tightening at impact.
Figure B.3: No Shock Orthogonalization
Notes: The figure shows impulse responses estimated based on the orthogonalized shock series (Baseline) and the unorthogonalized shocks (No orthogonalization) together with 68-percent and 90-percent
confidence bands constructed with Newey and West, 1987 standard errors.
Notes: The figure compares exchange rate impulse responses across alternative identification strategies for LSAP shocks.
This figure shows multiple impulse response functions for the euro–dollar exchange rate under different orthogonalization assumptions. Across specifications, the dollar consistently depreciates following LSAPs. Responses are somewhat larger when orthogonalization is not applied, but the qualitative pattern remains more or less unchanged.