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- W3124863487 abstract "We study banks' post-crisis liquidity management. We construct time series of U.S. banks’ holdings of high-quality liquid assets (HQLA) and examine how these assets have been managed in recent years to comply with the Liquidity Coverage Ratio (LCR) requirement. We find that, in becoming LCR compliant, banks initially ramped up their stock of reserve balances. However, once the requirement was met, some banks subsequently shifted the compositions of their liquid portfolios significantly. This raises the question: What drives the compositions of banks’ HQLA? We show that a risk-return framework can account for a range of potential portfolio compositions depending on banks’ tolerance for interest rate risk. And, our data indicate that banks have indeed adopted a range of portfolio compositions, with some components exhibiting a high degree of daily variance. These findings lead us to conclude that about half of large banks are largely focused on risk-return conside rations in managing the compositions of their HQLA pools while the other half appear bound by other factors. We highlight the importance of our findings for both the transmission and implementation of monetary policy." @default.
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- W3124863487 date "2017-08-01" @default.
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- W3124863487 title "How Have Banks Been Managing the Composition of High-Quality Liquid Assets?" @default.
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- W3124863487 doi "https://doi.org/10.17016/feds.2017.092r1" @default.
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