Finance and Economics Discussion Series: Data for FEDS Paper 2013-03
♣
Bank Liquidity Hoarding and the Financial Crisis: An Empirical Evaluation
Jose Berrospide
Figure 1: Disruption in Short-term Funding Markets and Bank Liquidity Hoarding
| Date |
ABCP_Bn |
Unsecured CP_Financial |
| 2005-01-05 |
710.7 |
585.6 |
| 2005-01-12 |
712.9 |
587.2 |
| 2005-01-19 |
704.6 |
595.3 |
| 2005-01-26 |
701.3 |
605.8 |
| 2005-02-02 |
704.8 |
585.0 |
| 2005-02-09 |
713.2 |
591.3 |
| 2005-02-16 |
711.0 |
592.7 |
| 2005-02-23 |
713.1 |
599.2 |
| 2005-03-02 |
714.3 |
588.3 |
| 2005-03-09 |
722.3 |
594.4 |
| 2005-03-16 |
720.2 |
597.5 |
| 2005-03-23 |
724.4 |
595.2 |
| 2005-03-30 |
719.2 |
594.3 |
| 2005-04-06 |
720.6 |
612.4 |
| 2005-04-13 |
720.4 |
618.4 |
| 2005-04-20 |
716.3 |
633.9 |
| 2005-04-27 |
712.5 |
642.3 |
| 2005-05-04 |
722.8 |
633.2 |
| 2005-05-11 |
731.1 |
637.5 |
| 2005-05-18 |
732.2 |
648.0 |
| 2005-05-25 |
733.2 |
649.6 |
| 2005-06-01 |
726.0 |
635.2 |
| 2005-06-08 |
738.9 |
629.2 |
| 2005-06-15 |
739.4 |
639.4 |
| 2005-06-22 |
740.9 |
646.6 |
| 2005-06-29 |
744.6 |
640.9 |
| 2005-07-06 |
750.4 |
603.5 |
| 2005-07-13 |
755.9 |
619.4 |
| 2005-07-20 |
752.9 |
617.0 |
| 2005-07-27 |
754.8 |
621.6 |
| 2005-08-03 |
763.3 |
636.8 |
| 2005-08-10 |
774.0 |
621.7 |
| 2005-08-17 |
774.5 |
629.8 |
| 2005-08-24 |
780.1 |
626.7 |
| 2005-08-31 |
780.2 |
629.1 |
| 2005-09-07 |
785.9 |
614.8 |
| 2005-09-14 |
790.8 |
624.7 |
| 2005-09-21 |
787.9 |
634.4 |
| 2005-09-28 |
792.1 |
638.2 |
| 2005-10-05 |
798.2 |
633.4 |
| 2005-10-12 |
804.0 |
626.9 |
| 2005-10-19 |
806.5 |
639.3 |
| 2005-10-26 |
812.6 |
643.5 |
| 2005-11-02 |
820.6 |
636.0 |
| 2005-11-09 |
834.1 |
638.2 |
| 2005-11-16 |
837.4 |
631.3 |
| 2005-11-23 |
837.1 |
644.9 |
| 2005-11-30 |
846.6 |
638.9 |
| 2005-12-07 |
863.4 |
635.8 |
| 2005-12-14 |
869.2 |
623.3 |
| 2005-12-21 |
891.1 |
646.3 |
| 2005-12-28 |
886.9 |
645.4 |
| 2006-01-04 |
881.2 |
645.4 |
| 2006-01-11 |
884.8 |
680.1 |
| 2006-01-18 |
875.5 |
676.2 |
| 2006-01-25 |
876.2 |
687.0 |
| 2006-02-01 |
886.5 |
668.4 |
| 2006-02-08 |
891.5 |
667.1 |
| 2006-02-15 |
891.8 |
653.4 |
| 2006-02-22 |
894.5 |
669.2 |
| 2006-03-01 |
901.0 |
669.6 |
| 2006-03-08 |
907.4 |
670.2 |
| 2006-03-15 |
908.6 |
686.7 |
| 2006-03-22 |
908.2 |
682.1 |
| 2006-03-29 |
911.1 |
668.8 |
| 2006-04-05 |
908.3 |
659.3 |
| 2006-04-12 |
916.6 |
670.9 |
| 2006-04-19 |
922.4 |
692.2 |
| 2006-04-26 |
927.6 |
715.6 |
| 2006-05-03 |
936.8 |
728.9 |
| 2006-05-10 |
946.9 |
730.3 |
| 2006-05-17 |
946.8 |
734.3 |
| 2006-05-24 |
947.2 |
730.5 |
| 2006-05-31 |
938.3 |
728.4 |
| 2006-06-07 |
954.2 |
719.3 |
| 2006-06-14 |
953.8 |
700.2 |
| 2006-06-21 |
956.6 |
702.1 |
| 2006-06-28 |
963.1 |
687.4 |
| 2006-07-05 |
959.8 |
665.6 |
| 2006-07-12 |
964.6 |
680.4 |
| 2006-07-19 |
964.4 |
677.5 |
| 2006-07-26 |
960.1 |
685.9 |
| 2006-08-02 |
969.4 |
674.4 |
| 2006-08-09 |
982.3 |
665.8 |
| 2006-08-16 |
984.5 |
679.1 |
| 2006-08-23 |
989.8 |
694.5 |
| 2006-08-30 |
991.4 |
694.1 |
| 2006-09-06 |
1002.2 |
694.5 |
| 2006-09-13 |
1001.9 |
701.8 |
| 2006-09-20 |
1004.5 |
709.7 |
| 2006-09-27 |
1023.2 |
717.6 |
| 2006-10-04 |
1033.2 |
706.0 |
| 2006-10-11 |
1033.6 |
712.3 |
| 2006-10-18 |
1024.6 |
707.4 |
| 2006-10-25 |
1039.1 |
719.1 |
| 2006-11-01 |
1048.4 |
704.0 |
| 2006-11-08 |
1058.3 |
701.1 |
| 2006-11-15 |
1063.7 |
708.2 |
| 2006-11-22 |
1061.0 |
710.2 |
| 2006-11-29 |
1061.2 |
706.2 |
| 2006-12-06 |
1077.7 |
700.2 |
| 2006-12-13 |
1083.9 |
708.9 |
| 2006-12-20 |
1107.7 |
703.4 |
| 2006-12-27 |
1125.3 |
695.7 |
| 2007-01-03 |
1122.3 |
707.3 |
| 2007-01-10 |
1119.0 |
726.9 |
| 2007-01-17 |
1102.0 |
725.4 |
| 2007-01-24 |
1097.5 |
745.6 |
| 2007-01-31 |
1088.8 |
747.0 |
| 2007-02-07 |
1095.6 |
757.6 |
| 2007-02-14 |
1107.0 |
765.4 |
| 2007-02-21 |
1100.4 |
758.7 |
| 2007-02-28 |
1094.4 |
762.2 |
| 2007-03-07 |
1099.8 |
741.2 |
| 2007-03-14 |
1105.2 |
753.6 |
| 2007-03-21 |
1097.8 |
756.1 |
| 2007-03-28 |
1102.4 |
768.6 |
| 2007-04-04 |
1103.1 |
750.0 |
| 2007-04-11 |
1113.3 |
764.9 |
| 2007-04-18 |
1097.7 |
772.8 |
| 2007-04-25 |
1108.4 |
795.8 |
| 2007-05-02 |
1128.1 |
793.9 |
| 2007-05-09 |
1143.2 |
810.8 |
| 2007-05-16 |
1150.7 |
811.7 |
| 2007-05-23 |
1142.2 |
805.1 |
| 2007-05-30 |
1144.8 |
808.7 |
| 2007-06-06 |
1165.0 |
786.5 |
| 2007-06-13 |
1167.6 |
763.9 |
| 2007-06-20 |
1166.0 |
766.0 |
| 2007-06-27 |
1173.2 |
762.6 |
| 2007-07-04 |
1178.8 |
747.3 |
| 2007-07-11 |
1188.7 |
768.6 |
| 2007-07-18 |
1180.5 |
778.1 |
| 2007-07-25 |
1190.7 |
784.7 |
| 2007-08-01 |
1201.4 |
781.8 |
| 2007-08-08 |
1213.7 |
768.6 |
| 2007-08-15 |
1163.8 |
742.6 |
| 2007-08-22 |
1091.8 |
738.4 |
| 2007-08-29 |
1013.9 |
755.6 |
| 2007-09-05 |
988.2 |
741.0 |
| 2007-09-12 |
974.0 |
758.0 |
| 2007-09-19 |
958.3 |
742.3 |
| 2007-09-26 |
954.0 |
751.1 |
| 2007-10-03 |
956.8 |
755.0 |
| 2007-10-10 |
951.5 |
766.2 |
| 2007-10-17 |
929.8 |
773.1 |
| 2007-10-24 |
928.9 |
788.5 |
| 2007-10-31 |
920.9 |
809.4 |
| 2007-11-07 |
904.8 |
813.9 |
| 2007-11-14 |
899.6 |
812.4 |
| 2007-11-21 |
874.3 |
809.5 |
| 2007-11-28 |
866.2 |
819.2 |
| 2007-12-05 |
857.4 |
807.8 |
| 2007-12-12 |
855.5 |
815.4 |
| 2007-12-19 |
832.9 |
799.3 |
| 2007-12-26 |
831.8 |
802.7 |
| 2008-01-02 |
839.9 |
806.4 |
| 2008-01-09 |
839.0 |
839.6 |
| 2008-01-16 |
846.3 |
838.3 |
| 2008-01-23 |
850.4 |
830.8 |
| 2008-01-30 |
844.5 |
840.5 |
| 2008-02-06 |
833.9 |
844.0 |
| 2008-02-13 |
830.1 |
838.0 |
| 2008-02-20 |
819.4 |
827.4 |
| 2008-02-27 |
821.8 |
850.5 |
| 2008-03-05 |
822.3 |
854.0 |
| 2008-03-12 |
816.5 |
848.5 |
| 2008-03-19 |
805.5 |
834.7 |
| 2008-03-26 |
802.8 |
839.6 |
| 2008-04-02 |
806.3 |
814.3 |
| 2008-04-09 |
801.4 |
828.8 |
| 2008-04-16 |
786.8 |
828.0 |
| 2008-04-23 |
788.7 |
834.8 |
| 2008-04-30 |
783.5 |
837.2 |
| 2008-05-07 |
780.7 |
861.6 |
| 2008-05-14 |
776.5 |
871.9 |
| 2008-05-21 |
775.0 |
886.2 |
| 2008-05-28 |
772.5 |
861.4 |
| 2008-06-04 |
778.2 |
852.2 |
| 2008-06-11 |
785.5 |
841.8 |
| 2008-06-18 |
776.6 |
826.6 |
| 2008-06-25 |
771.0 |
819.6 |
| 2008-07-02 |
772.8 |
804.8 |
| 2008-07-09 |
767.2 |
804.7 |
| 2008-07-16 |
762.2 |
794.0 |
| 2008-07-23 |
767.9 |
806.7 |
| 2008-07-30 |
781.1 |
809.9 |
| 2008-08-06 |
768.2 |
795.9 |
| 2008-08-13 |
762.9 |
807.5 |
| 2008-08-20 |
754.8 |
803.2 |
| 2008-08-27 |
746.4 |
808.1 |
| 2008-09-03 |
742.8 |
791.9 |
| 2008-09-10 |
741.6 |
809.5 |
| 2008-09-17 |
711.9 |
766.4 |
| 2008-09-24 |
712.4 |
733.4 |
| 2008-10-01 |
694.7 |
662.8 |
| 2008-10-08 |
676.5 |
628.4 |
| 2008-10-15 |
676.6 |
588.4 |
| 2008-10-22 |
668.8 |
568.7 |
| 2008-10-29 |
701.6 |
631.4 |
| 2008-11-05 |
711.9 |
675.2 |
| 2008-11-12 |
718.3 |
663.3 |
| 2008-11-19 |
699.5 |
664.6 |
| 2008-11-26 |
697.8 |
678.9 |
| 2008-12-03 |
692.5 |
689.6 |
| 2008-12-10 |
698.9 |
725.4 |
| 2008-12-17 |
711.3 |
717.6 |
| 2008-12-24 |
703.8 |
720.7 |
| 2008-12-31 |
704.5 |
713.7 |
| 2009-01-07 |
699.5 |
739.8 |
| 2009-01-14 |
693.7 |
739.6 |
| 2009-01-21 |
677.1 |
734.7 |
| 2009-01-28 |
669.4 |
653.1 |
| 2009-02-04 |
670.8 |
659.9 |
| 2009-02-11 |
663.0 |
646.0 |
| 2009-02-18 |
648.2 |
630.9 |
| 2009-02-25 |
646.3 |
632.4 |
| 2009-03-04 |
643.2 |
618.8 |
| 2009-03-11 |
634.7 |
615.4 |
| 2009-03-18 |
625.6 |
630.5 |
| 2009-03-25 |
627.8 |
643.2 |
| 2009-04-01 |
634.8 |
634.7 |
| 2009-04-08 |
632.5 |
640.4 |
| 2009-04-15 |
621.4 |
629.8 |
| 2009-04-22 |
615.4 |
647.6 |
| 2009-04-29 |
604.6 |
630.8 |
| 2009-05-06 |
603.3 |
611.4 |
| 2009-05-13 |
598.2 |
599.9 |
| 2009-05-20 |
580.5 |
602.9 |
| 2009-05-27 |
582.2 |
599.1 |
| 2009-06-03 |
577.1 |
589.1 |
| 2009-06-10 |
571.7 |
580.8 |
| 2009-06-17 |
565.0 |
572.8 |
| 2009-06-24 |
562.1 |
573.8 |
| 2009-07-01 |
571.9 |
564.3 |
| 2009-07-08 |
569.3 |
555.1 |
| 2009-07-15 |
559.3 |
544.5 |
| 2009-07-22 |
555.9 |
552.8 |
| 2009-07-29 |
539.7 |
528.2 |
| 2009-08-05 |
535.3 |
523.8 |
| 2009-08-12 |
528.9 |
531.3 |
| 2009-08-19 |
519.5 |
536.3 |
| 2009-08-26 |
512.1 |
548.0 |
| 2009-09-02 |
510.2 |
546.1 |
| 2009-09-09 |
503.5 |
545.1 |
| 2009-09-16 |
497.3 |
544.9 |
| 2009-09-23 |
498.9 |
554.9 |
| 2009-09-30 |
499.7 |
560.8 |
| 2009-10-07 |
494.9 |
564.3 |
| 2009-10-14 |
491.1 |
576.4 |
| 2009-10-21 |
482.2 |
572.1 |
| 2009-10-28 |
463.3 |
583.8 |
| 2009-11-04 |
454.8 |
571.9 |
| 2009-11-11 |
452.0 |
569.5 |
| 2009-11-18 |
449.0 |
594.3 |
| 2009-11-25 |
445.9 |
596.2 |
| 2009-12-02 |
444.0 |
590.0 |
| 2009-12-09 |
445.8 |
583.1 |
| 2009-12-16 |
444.5 |
577.8 |
| 2009-12-23 |
451.1 |
582.8 |
| 2009-12-30 |
451.6 |
605.2 |
| Date |
Liq Assets/Total Assets |
| 2005:Q1 |
22.8334237781839 |
| 2005:Q2 |
22.3467385021751 |
| 2005:Q3 |
21.9271567111691 |
| 2005:Q4 |
21.6438091330847 |
| 2006:Q1 |
21.2850709136934 |
| 2006:Q2 |
21.1649695922474 |
| 2006:Q3 |
20.6291743198246 |
| 2006:Q4 |
20.6683003907654 |
| 2007:Q1 |
20.0569629307586 |
| 2007:Q2 |
19.9766840598978 |
| 2007:Q3 |
19.0528241598996 |
| 2007:Q4 |
18.4473505251718 |
| 2008:Q1 |
18.2350625156555 |
| 2008:Q2 |
18.9922604526101 |
| 2008:Q3 |
20.049275474134 |
| 2008:Q4 |
22.6043990183923 |
| 2009:Q1 |
23.9451416659898 |
| 2009:Q2 |
24.3584933951306 |
| 2009:Q3 |
25.7790635057156 |
| 2009:Q4 |
26.8880484881084 |
| 2010:Q1 |
26.9761139937882 |
| 2010:Q2 |
27.0467918280994 |
| 2010:Q3 |
27.1696294319216 |
| 2010:Q4 |
27.2132486797046 |
| 2011:Q1 |
28.6307264418721 |
Figure 2: Bank Securities Losses (Billion US$)
| date |
sec~_all |
s~vlarge |
s~_large |
sec~mall |
| 2005:Q1 |
9.822182 |
4.991078 |
8.367966 |
1.454216 |
| 2005:Q2 |
-5.275873 |
-5.00304 |
-5.21579 |
-0.060083 |
| 2005:Q3 |
8.75926 |
5.607798 |
7.79951 |
0.95975 |
| 2005:Q4 |
15.80087 |
10.07196 |
13.65189 |
2.148978 |
| 2006:Q1 |
28.04043 |
18.93477 |
25.1831 |
2.857332 |
| 2006:Q2 |
41.09915 |
28.14931 |
36.68719 |
4.411963 |
| 2006:Q3 |
6.506017 |
1.264833 |
4.905211 |
1.600806 |
| 2006:Q4 |
11.77775 |
7.962017 |
10.79774 |
0.980014 |
| 2007:Q1 |
8.104085 |
5.763593 |
7.610744 |
0.493341 |
| 2007:Q2 |
26.0148 |
18.97892 |
23.52353 |
2.491273 |
| 2007:Q3 |
12.34693 |
9.954947 |
11.88815 |
0.458779 |
| 2007:Q4 |
6.71956 |
6.911357 |
7.474374 |
-0.754814 |
| 2008:Q1 |
16.26526 |
19.18399 |
18.33821 |
-2.07295 |
| 2008:Q2 |
42.8636 |
36.33213 |
41.11234 |
1.751266 |
| 2008:Q3 |
51.63948 |
43.7293 |
49.66873 |
1.970749 |
| 2008:Q4 |
41.31593 |
38.06982 |
41.68786 |
-0.37193 |
| 2009:Q1 |
40.32666 |
38.63567 |
40.75624 |
-0.429574 |
| 2009:Q2 |
28.58654 |
27.39105 |
28.65693 |
-0.070394 |
Figure 3: Changes in Commercial Bank Assets: 2008 and 2009 (Billion US$)
| Real estate loans |
0 |
149 |
| Consumer loans |
149 |
30 |
| Other loans and leases |
179 |
45 |
| Treasury and Agency securities |
224 |
375 |
| Other securities |
599 |
234 |
| Cash |
833 |
494 |
| C&I loans |
1107 |
-211 |
| Other assets |
436 |
-449 |
Figure 4: Liquidity Hoarding U.S. Commercial Banks: 2005-2009
| date |
Total Liquid Assets/Assets Liq_Hoard |
Total Liquid Assets/Assets Liq_Nonhoard |
Total Liquid Assets/Assets ALL |
Cash and Fed Funds/Assets Liq_Hoard |
Cash and Fed Funds/Assets Liq_Nonhoard |
Cash and Fed Funds/Assets ALL |
Gov. Securities/Assets Liq_Hoard |
Gov. Securities/Assets Liq_Nonhoard |
Gov. Securities/Assets ALL |
Agency MBS / Assets Liq_Hoard |
Agency MBS / Assets Liq_Nonhoard |
Agency MBS / Assets ALL |
| 2005:Q1 |
31.69798 |
33.29973 |
32.98295 |
8.29527 |
7.96156 |
8.02756 |
12.69004 |
12.64654 |
12.65514 |
5.16003 |
6.55947 |
6.2827 |
| 2005:Q2 |
30.84399 |
32.54346 |
32.20855 |
7.31165 |
7.47736 |
7.4447 |
12.75628 |
12.70233 |
12.71297 |
5.09403 |
6.28677 |
6.05172 |
| 2005:Q3 |
29.89512 |
31.94372 |
31.54216 |
7.3747 |
7.6429 |
7.59033 |
12.25725 |
12.38048 |
12.35633 |
4.73453 |
5.97365 |
5.73076 |
| 2005:Q4 |
30.14935 |
31.747 |
31.44136 |
8.07696 |
7.94155 |
7.96745 |
12.17535 |
12.33243 |
12.30238 |
4.5431 |
5.69108 |
5.47146 |
| 2006:Q1 |
30.87813 |
31.53389 |
31.40583 |
8.21852 |
8.03946 |
8.07443 |
12.80739 |
12.35322 |
12.44191 |
4.49504 |
5.51192 |
5.31334 |
| 2006:Q2 |
29.73239 |
30.62414 |
30.44688 |
7.2304 |
7.44881 |
7.40539 |
12.73581 |
12.30941 |
12.39417 |
4.43964 |
5.35959 |
5.17672 |
| 2006:Q3 |
29.61805 |
30.01064 |
29.9323 |
7.09569 |
7.19775 |
7.17739 |
12.68639 |
12.05859 |
12.18386 |
4.50201 |
5.2316 |
5.08601 |
| 2006:Q4 |
30.73653 |
30.15019 |
30.26631 |
8.61797 |
8.07433 |
8.18199 |
12.20756 |
11.48764 |
11.63021 |
4.65508 |
5.1525 |
5.05399 |
| 2007:Q1 |
31.95955 |
30.21773 |
30.57365 |
9.41942 |
8.53779 |
8.71794 |
12.36832 |
11.28584 |
11.50702 |
4.77273 |
5.05994 |
5.00126 |
| 2007:Q2 |
31.23899 |
29.13627 |
29.57242 |
8.37207 |
7.70196 |
7.84096 |
12.59887 |
11.08692 |
11.40053 |
4.90569 |
5.07046 |
5.03629 |
| 2007:Q3 |
31.83616 |
28.38283 |
29.09004 |
8.36996 |
7.39039 |
7.591 |
12.65163 |
10.64411 |
11.05523 |
5.2355 |
5.09333 |
5.12245 |
| 2007:Q4 |
33.04178 |
28.03609 |
29.06562 |
9.62861 |
7.71844 |
8.1113 |
11.87715 |
9.64444 |
10.10365 |
5.81348 |
5.29307 |
5.4001 |
| 2008:Q1 |
36.22452 |
28.00097 |
29.68682 |
11.94455 |
8.61982 |
9.3014 |
11.11701 |
8.03241 |
8.66476 |
7.11925 |
5.94618 |
6.18666 |
| 2008:Q2 |
36.49075 |
26.89837 |
28.89131 |
10.62783 |
7.32671 |
8.01256 |
11.47742 |
7.79203 |
8.55771 |
7.88514 |
6.3129 |
6.63955 |
| 2008:Q3 |
36.07213 |
25.87216 |
27.96343 |
9.75718 |
6.91218 |
7.49548 |
11.49772 |
7.38649 |
8.2294 |
8.21098 |
6.34663 |
6.72887 |
| 2008:Q4 |
36.94428 |
26.01397 |
28.18595 |
10.1733 |
7.24083 |
7.82355 |
11.43521 |
7.13659 |
7.99077 |
8.61754 |
6.45977 |
6.88854 |
| 2009:Q1 |
38.99396 |
27.20841 |
29.59591 |
11.87603 |
8.72345 |
9.3621 |
10.95376 |
6.58881 |
7.47305 |
8.98698 |
6.56905 |
7.05887 |
| 2009:Q2 |
38.80507 |
27.19993 |
29.54258 |
11.62995 |
8.6661 |
9.26439 |
10.68147 |
6.42691 |
7.28575 |
9.0265 |
6.45612 |
6.97499 |
| 2009:Q3 |
38.37251 |
27.5438 |
29.69271 |
10.85809 |
8.68384 |
9.11531 |
10.65794 |
6.64358 |
7.44021 |
8.91437 |
6.44794 |
6.93739 |
| 2009:Q4 |
38.52053 |
27.97812 |
30.00036 |
11.56236 |
9.36215 |
9.78419 |
10.43267 |
6.74298 |
7.45074 |
8.73476 |
6.30824 |
6.77369 |
| 2010:Q1 |
40.02891 |
29.09922 |
31.23391 |
12.51905 |
10.22631 |
10.67411 |
11.01015 |
7.09464 |
7.85938 |
8.61283 |
6.25898 |
6.71872 |
| Total |
0.3372707 |
0.2893789 |
0.3034519 |
|
0.0788581 |
0.0860614 |
0.1180551 |
0.0973383 |
0.0988407 |
0.0646614 |
0.0590175 |
0.0608072 |
Figure 5: Unused Commitments and Securities Losses by Bank Size
| date |
LARGE BANKS Unused Commitment Ratio (right axis) |
LARGE BANKS Security Loss Ratio |
LARGE BANKS corr |
SMALL BANKSunused |
SMALL BANKS secloss |
SMALL BANKS corr |
| 2005:Q1 |
0.1599327 |
0.64426 |
-0.0526 |
0.089301 |
0.58067 |
0.0321 |
| 2005:Q2 |
0.1589641 |
-0.16461 |
-0.0381 |
0.0900034 |
-0.0464 |
0.0241 |
| 2005:Q3 |
0.1606794 |
0.41958 |
-0.023 |
0.089777 |
0.38099 |
0.0237 |
| 2005:Q4 |
0.1627454 |
0.94657 |
-0.0159 |
0.0918196 |
0.90717 |
0.0256 |
| 2006:Q1 |
0.1630203 |
1.336 |
-0.0443 |
0.0949668 |
1.14011 |
0.0224 |
| 2006:Q2 |
0.1628249 |
2.06114 |
-0.0315 |
0.0938104 |
1.82152 |
0.023 |
| 2006:Q3 |
0.1643052 |
0.66651 |
-0.033 |
0.091986 |
0.61066 |
0.0247 |
| 2006:Q4 |
0.1639792 |
0.48689 |
-0.0085 |
0.0911212 |
0.36421 |
0.0227 |
| 2007:Q1 |
0.1636244 |
0.18503 |
-0.0334 |
0.0941107 |
0.19045 |
0.0309 |
| 2007:Q2 |
0.1641118 |
1.147 |
0.0094 |
0.0927142 |
0.97194 |
0.0291 |
| 2007:Q3 |
0.1636652 |
0.31723 |
0.0059 |
0.0917722 |
0.02743 |
0.029 |
| 2007:Q4 |
0.1592379 |
-0.08 |
-0.0108 |
0.0906996 |
-0.52672 |
0.0246 |
| 2008:Q1 |
0.1565601 |
-0.43564 |
-0.0334 |
0.0916522 |
-1.30391 |
0.0217 |
| 2008:Q2 |
0.1524734 |
1.40908 |
-0.0493 |
0.0880274 |
0.48682 |
0.0201 |
| 2008:Q3 |
0.1470729 |
1.85003 |
0.0012 |
0.0853122 |
0.65916 |
0.0071 |
| 2008:Q4 |
0.1358665 |
0.89256 |
0.0309 |
0.0810537 |
-0.54275 |
0.0197 |
| 2009:Q1 |
0.1335201 |
0.64258 |
0.0137 |
0.0810709 |
-0.51699 |
0.0013 |
| 2009:Q2 |
0.1272582 |
0.50349 |
-0.0319 |
0.07721 |
-0.34051 |
-0.0315 |
| 2009:Q3 |
0.1223251 |
-1.07227 |
0.012 |
0.0740463 |
-1.56276 |
-0.0262 |
| 2009:Q4 |
0.1194356 |
-0.82938 |
-0.0098 |
0.0713286 |
-1.07844 |
-0.0276 |
Figure 6: Liquidity Hoarding Incentives Very Large Commercial Banks (Assets Greater than or Equal to 50 Billion)
| date |
Change in Unused Commitments (right axis) |
Change in Unused Back-up Lines to Conduits (right axis) |
Security Loss Ratio (left axis) |
| 2005:Q1 |
3.56751 |
5.71602 |
0.73433 |
| 2005:Q2 |
3.55288 |
2.5126 |
-0.31033 |
| 2005:Q3 |
2.28914 |
-5.54724 |
0.64327 |
| 2005:Q4 |
3.66438 |
0.31099 |
1.08828 |
| 2006:Q1 |
7.07451 |
3.589 |
1.82765 |
| 2006:Q2 |
2.27769 |
-4.13647 |
2.4257 |
| 2006:Q3 |
2.96359 |
8.29263 |
0.7222 |
| 2006:Q4 |
2.51984 |
-0.40534 |
0.67853 |
| 2007:Q1 |
1.29091 |
3.8751 |
0.03865 |
| 2007:Q2 |
1.68578 |
2.87802 |
1.25571 |
| 2007:Q3 |
1.89114 |
-0.80345 |
0.31771 |
| 2007:Q4 |
0.43996 |
-8.30461 |
0.22417 |
| 2008:Q1 |
-1.67334 |
-11.59309 |
1.63143 |
| 2008:Q2 |
-0.361 |
-16.48998 |
2.90952 |
| 2008:Q3 |
-1.88032 |
-23.64943 |
4.26058 |
| 2008:Q4 |
-4.78802 |
-9.36539 |
5.19583 |
| 2009:Q1 |
-4.56988 |
-9.43838 |
2.90809 |
| 2009:Q2 |
-4.05205 |
-28.61001 |
2.17553 |
Figure 7: Deposit Growth (Quarterly growth rates 4-period moving average)
| date |
TOTAL DEPOSIT GROWTH Liq_Hoard |
TOTAL DEPOSIT GROWTH Liq_Nonhoard |
TOTAL DEPOSIT GROWTH ALL |
CORE AND NON-CORE DEPOSIT GROWTH CORE |
CORE AND NON-CORE DEPOSIT GROWTH NON-CORE |
CORE DEPOSIT GROWTH Liq_Hoard |
CORE DEPOSIT GROWTH Liq_Nonhoard |
NON-CORE DEPOSIT GROWTH Liq_Hoard |
NON-CORE DEPOSIT GROWTH Liq_Nonhoard |
| 2005:Q4 |
0.87697 |
1.3118875 |
1.2257025 |
0.74155 |
4.86259 |
0.483555 |
0.8056525 |
4.0285375 |
5.0649425 |
| 2006:Q1 |
0.951795 |
1.313775 |
1.242295 |
0.7219725 |
5.030345 |
0.5635675 |
0.7613775 |
4.16368 |
5.23993 |
| 2006:Q2 |
0.9543925 |
1.2914625 |
1.2245325 |
0.69634 |
5.009945 |
0.54731 |
0.7338125 |
4.3107925 |
5.17881 |
| 2006:Q3 |
0.8912325 |
1.183155 |
1.124775 |
0.4882475 |
5.2442475 |
0.3802925 |
0.5160325 |
4.627265 |
5.3935425 |
| 2006:Q4 |
1.024865 |
1.2861975 |
1.234485 |
0.62687 |
5.2334175 |
0.523225 |
0.6524925 |
4.72584 |
5.3578825 |
| 2007:Q1 |
1.1067525 |
1.3415 |
1.2941825 |
0.888205 |
4.5059575 |
0.745845 |
0.9244275 |
4.23541 |
4.572535 |
| 2007:Q2 |
1.111985 |
1.274535 |
1.2406125 |
0.95763 |
3.80164 |
0.819235 |
0.994375 |
3.636045 |
3.842195 |
| 2007:Q3 |
1.1174 |
1.1911025 |
1.174875 |
1.0416025 |
3.05961 |
0.9708975 |
1.06143 |
2.974655 |
3.0802225 |
| 2007:Q4 |
0.9139175 |
0.925335 |
0.922915 |
0.85872 |
2.50439 |
0.8288525 |
0.8664975 |
2.5470575 |
2.49341 |
| 2008:Q1 |
1.1346075 |
0.9613225 |
0.996685 |
0.8935575 |
2.661515 |
1.0338325 |
0.857715 |
2.7843775 |
2.6298975 |
| 2008:Q2 |
1.1710925 |
0.920755 |
0.9720825 |
0.98015 |
2.0867425 |
1.1798975 |
0.92883 |
2.2247525 |
2.05117 |
| 2008:Q3 |
0.9383025 |
0.91385 |
0.9189725 |
1.0302525 |
1.52199 |
1.06433 |
1.02143 |
1.3689925 |
1.56118 |
| 2008:Q4 |
0.790575 |
1.0720725 |
1.015155 |
0.9638825 |
2.2834725 |
0.836175 |
0.996855 |
1.6063825 |
2.45226 |
| 2009:Q1 |
0.7044375 |
1.2814725 |
1.164525 |
0.9798375 |
2.9683325 |
0.643025 |
1.06606 |
1.8729725 |
3.2433825 |
| 2009:Q2 |
0.6608125 |
1.4334675 |
1.27733 |
0.9943875 |
3.5233575 |
0.5531625 |
1.106355 |
2.1257525 |
3.87456 |
| 2009:Q3 |
0.6650075 |
1.49459 |
1.3286625 |
0.9678 |
3.8667275 |
0.43838 |
1.0999275 |
2.667705 |
4.16582 |
| 2009:Q4 |
0.7812625 |
1.43473 |
1.303285 |
1.15667 |
2.8370475 |
0.6903625 |
1.2739125 |
2.076205 |
3.0271325 |
| 2010:Q1 |
0.562215 |
1.08481 |
0.980335 |
0.8877175 |
2.0121825 |
0.48848 |
0.9872975 |
1.54811 |
2.127105 |