Summary
This analysis examines Bank Term Funding Program (BTFP) usage during
the 2023 banking crisis through:
Analysis Structure:
- Extensive Margin Models: Binary choice to use BTFP
(logit models)
- Model A: Run Risk specifications (A.1, A.2, A.3)
- Model B: Insolvency specifications (B.1, B.2)
- Intensive Margin Models: Amount borrowed from BTFP
(OLS, conditional on usage)
- Same specifications as extensive margin
- Multiple Subsamples:
- Baseline: Banks with OMO-eligible assets
- Size subsamples: Small vs Large banks
- No DW borrowers: Excluding discount window users
- Choice model: BTFP vs DW (among borrowers)
- Public vs Non-public banks
- Robustness Checks: Alternative specifications and
insolvency measures
Key Features: - Sample: Banks with
OMO-eligible assets (excluding failed banks and G-SIB banks) -
Crisis Period: March 13, 2023 - April 30, 2023 (acute
phase) - Baseline Date: 2022Q4 (pre-crisis
characteristics) - Winsorization: 1st and 99th
percentiles (can also use 95th) - Standardization: All
continuous variables (z-scores)
Setup and Configuration
#> Updating rlang to resolve dependencies...
#>
#> There is a binary version available but the source version is later:
#> binary source needs_compilation
#> rlang 1.1.5 1.1.6 TRUE
#> ✓ All packages loaded successfully
#> Working directory: C:/Users/mferdo2/OneDrive - Louisiana State University/Finance_PhD/DW_Stigma_paper/Liquidity_project_2025
#> Data paths configured successfully
#> ================================================================
#> BTFP USAGE ANALYSIS - 2023 BANKING CRISIS
#> ================================================================
#> Crisis Window: 2023-03-13 to 2023-04-30
#> MTM Period: 2022-03-16 to 2023-03-10
#> ================================================================
#> Helper functions loaded successfully
Data Loading and Preparation
#>
#> === LOADING DATA ===
#> ✓ Call reports loaded: 61002 obs, 4926 banks
#> ✓ BTFP loans loaded: 6734 obs
#> Date range: 2023-03-13 to 2024-03-11
#> ✓ DW loans loaded: 7724 obs
#> Date range: 2023-01-03 to 2023-09-29
#>
#> === AGGREGATING FACILITY USAGE ===
#> ✓ BTFP users (acute crisis): 481
#> ✓ DW users (acute crisis): 415
#> ✓ BTFP users (full program): 1327
#>
#> === CREATING 2022Q4 BASELINE ===
#> Data availability checks:
#> - failed_bank column: YES
#> - gsib column: YES
#> - mv_asset column: YES
#> - size_bin column: YES
#> ✓ Initial baseline: 4737 banks
#>
#> === CONSTRUCTING KEY RISK VARIABLES ===
#> ✓ After constructing risk variables: 4669 banks
#>
#> === WINSORIZING AND STANDARDIZING ===
#> ✓ Winsorized 23 variables at 1/99 percentiles
#> ✓ Created standardized (z-score) versions of all variables
#>
#> === CREATING ANALYSIS DATASET ===
#> ✓ Excluded failed banks and G-SIBs
#> Banks removed: 37
#> Remaining banks: 4632
#> ✓ FINAL ANALYSIS SAMPLE: 4632 banks
#> - BTFP users: 468 ( 10.1 %)
#> - DW users: 403 ( 8.7 %)
#> - Both facilities: 92
#> - Only BTFP: 376
#> - Only DW: 311
#> - Has OMO-Eligible: 4251 ( 91.77 %)
#>
#> === CREATING SUBSAMPLES ===
#> 1. Baseline (OMO-eligible): 4251 banks
#>
#> Available size categories:
#>
#> large small
#> 714 3537
#>
#> 2. Small banks (size_bin='small'): 3537 banks
#> 3. Large banks (size_bin='large'): 714 banks
#> 4. No DW borrowers: 3866 banks
#> 5. Choice (BTFP or DW): 748 banks
#> Note: 'public' variable not found - skipping public/non-public subsample
#>
#> ✓ All subsamples created successfully
#>
#> BTFP Usage Rates by Subsample:
#> Baseline: 10.66 %
#> Small banks: 8.68 %
#> Large banks: 20.45 %
#> No DW: 9.39 %
#> Choice: 60.56 %
Descriptive Statistics: Asset and Liability Composition
#> ================================================================================
#> ASSET AND LIABILITY COMPOSITION TABLES
#> ================================================================================
#>
#> Generating descriptive tables for 2022Q4 and 2023Q1
#> ✓ Data Prepared successfully.
Bank Asset Composition, 2022Q4
|
|
(1)
|
(2)
|
(3)
|
(4)
|
(5)
|
|
|
Aggregate
|
Full Sample
|
Small
|
Large
|
GSIB
|
|
Number of Banks
|
4,737
|
4,737
|
3,967
|
737
|
33
|
|
Cash
|
11.0
|
8.1 (7.4)
|
8.5 (7.5)
|
5.2 (5.6)
|
18.7 (10.1)
|
|
Securities
|
24.0
|
24.0 (14.9)
|
24.7 (15.2)
|
20.5 (12.2)
|
17.4 (17.4)
|
|
Treasury
|
6.0
|
3.3 (4.8)
|
3.5 (5.0)
|
2.3 (3.7)
|
5.1 (6.1)
|
|
RMBS
|
11.2
|
3.0 (4.3)
|
2.4 (3.9)
|
6.1 (5.1)
|
4.9 (6.1)
|
|
CMBS
|
1.8
|
0.8 (1.4)
|
0.6 (1.3)
|
1.3 (1.6)
|
0.8 (1.4)
|
|
ABS
|
3.1
|
1.0 (1.7)
|
0.9 (1.6)
|
1.5 (1.9)
|
1.4 (2.3)
|
|
Other Securities
|
1.9
|
14.5 (12.2)
|
15.9 (12.4)
|
7.4 (7.7)
|
2.3 (5.9)
|
|
Total Loans
|
51.0
|
60.8 (16.5)
|
59.7 (16.6)
|
67.4 (13.6)
|
43.6 (18.9)
|
|
Real Estate Loans
|
24.2
|
45.9 (18.3)
|
45.4 (18.2)
|
49.7 (17.4)
|
22.0 (18.6)
|
|
Residential Mortgage
|
11.7
|
17.3 (12.8)
|
17.7 (13.0)
|
15.6 (11.7)
|
11.8 (15.4)
|
|
Commercial Mortgage
|
2.5
|
2.3 (2.8)
|
2.0 (2.6)
|
4.0 (3.1)
|
1.1 (2.1)
|
|
Other Real Estate
|
10.0
|
24.8 (12.9)
|
24.5 (12.7)
|
27.9 (12.8)
|
4.3 (6.2)
|
|
Agricultural Loans
|
0.3
|
3.0 (4.8)
|
3.4 (5.1)
|
0.8 (2.1)
|
0.1 (0.4)
|
|
Commercial & Industrial
|
9.8
|
7.2 (5.4)
|
6.8 (5.1)
|
9.4 (6.4)
|
4.4 (5.9)
|
|
Consumer Loans
|
8.6
|
2.4 (2.7)
|
2.3 (2.5)
|
2.5 (3.4)
|
3.5 (4.3)
|
|
Loans to Non-Depositories
|
3.2
|
0.1 (0.2)
|
0.0 (0.2)
|
0.2 (0.3)
|
0.4 (0.4)
|
|
Fed Funds Sold
|
0.1
|
0.8 (1.8)
|
0.9 (1.9)
|
0.1 (0.6)
|
0.6 (1.9)
|
|
Reverse Repo
|
1.3
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
|
Note:
|
|
Values are percentages of total assets. Row 1 shows number
of banks. Column (1) is aggregate. Columns (2)-(5) are bank-level
averages. Standard deviations in parentheses. All bank-level statistics
(Cols 2-5) are winsorized at the 5th and 95th percentiles.
|
Bank Liability Composition, 2022Q4
|
|
(1)
|
(2)
|
(3)
|
(4)
|
(5)
|
|
|
Aggregate
|
Full Sample
|
Small
|
Large
|
GSIB
|
|
Number of Banks
|
4,737
|
4,737
|
3,967
|
737
|
33
|
|
Total Liabilities
|
90.6
|
90.3 (3.7)
|
90.3 (3.8)
|
90.4 (2.9)
|
86.9 (4.7)
|
|
Domestic Deposits
|
75.1
|
85.7 (6.4)
|
86.1 (6.4)
|
83.6 (5.7)
|
77.0 (7.9)
|
|
Insured Deposits
|
42.1
|
61.8 (12.7)
|
63.6 (11.9)
|
52.8 (12.0)
|
46.9 (18.4)
|
|
Uninsured Deposits
|
35.8
|
23.0 (11.0)
|
21.7 (10.4)
|
30.2 (11.0)
|
23.1 (17.0)
|
|
Uninsured Time Deposits (Total)
|
2.2
|
4.1 (3.4)
|
4.3 (3.4)
|
3.4 (3.0)
|
1.5 (2.4)
|
|
Long-term Time Deposits
|
0.3
|
1.1 (1.2)
|
1.1 (1.2)
|
0.8 (0.9)
|
0.1 (0.3)
|
|
Short-term Time Deposits
|
1.9
|
2.9 (2.6)
|
3.0 (2.6)
|
2.6 (2.4)
|
1.3 (2.2)
|
|
Foreign Deposits
|
6.3
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
|
Fed Funds Purchased
|
0.2
|
0.2 (0.5)
|
0.2 (0.5)
|
0.1 (0.4)
|
0.0 (0.0)
|
|
Repo
|
0.6
|
0.2 (0.7)
|
0.2 (0.6)
|
0.5 (0.9)
|
0.2 (0.6)
|
|
Other Liabilities
|
7.2
|
3.6 (4.0)
|
3.2 (3.9)
|
5.5 (4.1)
|
6.2 (4.4)
|
|
Total Equity
|
9.4
|
9.7 (3.7)
|
9.7 (3.8)
|
9.6 (2.9)
|
13.1 (4.7)
|
|
Common Stock
|
0.2
|
0.4 (0.6)
|
0.4 (0.6)
|
0.2 (0.6)
|
0.7 (1.0)
|
|
Preferred Stock
|
0.1
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
|
Retained Earnings
|
4.4
|
7.2 (4.2)
|
7.4 (4.3)
|
6.1 (3.2)
|
7.4 (5.3)
|
|
Note:
|
|
Values are percentages of total assets. Row 1 shows number
of banks. Column (1) is aggregate. Columns (2)-(5) are bank-level
averages. Standard deviations in parentheses. All bank-level statistics
(Cols 2-5) are winsorized at the 5th and 95th percentiles.
|
Bank Asset Composition, 2023Q1
|
|
(1)
|
(2)
|
(3)
|
(4)
|
(5)
|
|
|
Aggregate
|
Full Sample
|
Small
|
Large
|
GSIB
|
|
Number of Banks
|
4,712
|
4,712
|
3,943
|
736
|
33
|
|
Cash
|
12.0
|
8.3 (7.1)
|
8.6 (7.2)
|
6.2 (5.6)
|
18.0 (9.5)
|
|
Securities
|
22.8
|
23.7 (14.9)
|
24.5 (15.2)
|
19.8 (11.8)
|
17.1 (17.1)
|
|
Treasury
|
5.5
|
3.1 (4.6)
|
3.3 (4.8)
|
2.1 (3.5)
|
4.9 (5.9)
|
|
RMBS
|
10.8
|
2.9 (4.3)
|
2.4 (3.8)
|
5.9 (5.0)
|
4.9 (6.2)
|
|
CMBS
|
1.7
|
0.8 (1.4)
|
0.7 (1.3)
|
1.3 (1.6)
|
0.8 (1.4)
|
|
ABS
|
3.0
|
0.9 (1.6)
|
0.8 (1.5)
|
1.5 (1.8)
|
1.4 (2.2)
|
|
Other Securities
|
1.9
|
14.4 (12.1)
|
15.9 (12.3)
|
7.3 (7.6)
|
2.2 (6.0)
|
|
Total Loans
|
50.6
|
60.8 (16.4)
|
59.7 (16.6)
|
67.4 (13.0)
|
44.3 (19.6)
|
|
Real Estate Loans
|
24.2
|
46.3 (18.3)
|
45.8 (18.3)
|
50.0 (17.1)
|
22.8 (20.3)
|
|
Residential Mortgage
|
11.7
|
17.5 (12.9)
|
17.9 (13.1)
|
15.7 (11.6)
|
12.0 (15.6)
|
|
Commercial Mortgage
|
2.5
|
2.3 (2.8)
|
2.0 (2.6)
|
4.1 (3.1)
|
1.1 (2.2)
|
|
Other Real Estate
|
10.0
|
25.0 (12.9)
|
24.6 (12.8)
|
28.0 (12.8)
|
4.3 (6.0)
|
|
Agricultural Loans
|
0.3
|
2.6 (4.2)
|
3.0 (4.5)
|
0.7 (1.8)
|
0.1 (0.3)
|
|
Commercial & Industrial
|
9.7
|
7.2 (5.4)
|
6.8 (5.1)
|
9.3 (6.3)
|
4.4 (5.9)
|
|
Consumer Loans
|
8.5
|
2.4 (2.7)
|
2.4 (2.6)
|
2.6 (3.5)
|
3.5 (4.3)
|
|
Loans to Non-Depositories
|
3.2
|
0.1 (0.2)
|
0.0 (0.2)
|
0.2 (0.3)
|
0.4 (0.4)
|
|
Fed Funds Sold
|
0.1
|
0.9 (1.8)
|
1.0 (2.0)
|
0.2 (0.7)
|
0.4 (1.6)
|
|
Reverse Repo
|
1.3
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
|
Note:
|
|
Values are percentages of total assets. Row 1 shows number
of banks. Column (1) is aggregate. Columns (2)-(5) are bank-level
averages. Standard deviations in parentheses. All bank-level statistics
(Cols 2-5) are winsorized at the 5th and 95th percentiles.
|
Bank Liability Composition, 2023Q1
|
|
(1)
|
(2)
|
(3)
|
(4)
|
(5)
|
|
|
Aggregate
|
Full Sample
|
Small
|
Large
|
GSIB
|
|
Number of Banks
|
4,712
|
4,712
|
3,943
|
736
|
33
|
|
Total Liabilities
|
90.4
|
90.0 (3.7)
|
90.0 (3.8)
|
90.2 (2.7)
|
86.5 (4.8)
|
|
Domestic Deposits
|
72.9
|
85.1 (6.5)
|
85.7 (6.4)
|
82.6 (6.1)
|
75.3 (7.9)
|
|
Insured Deposits
|
42.9
|
62.8 (12.1)
|
64.5 (11.4)
|
54.5 (11.2)
|
47.8 (16.9)
|
|
Uninsured Deposits
|
32.7
|
21.6 (10.2)
|
20.4 (9.8)
|
27.7 (10.2)
|
21.4 (15.9)
|
|
Uninsured Time Deposits (Total)
|
2.6
|
4.9 (3.8)
|
5.0 (3.8)
|
4.1 (3.5)
|
1.7 (2.7)
|
|
Long-term Time Deposits
|
0.3
|
1.1 (1.2)
|
1.2 (1.2)
|
0.8 (0.9)
|
0.1 (0.3)
|
|
Short-term Time Deposits
|
2.3
|
3.6 (3.1)
|
3.7 (3.1)
|
3.2 (2.8)
|
1.5 (2.4)
|
|
Foreign Deposits
|
6.1
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
|
Fed Funds Purchased
|
0.1
|
0.0 (0.2)
|
0.0 (0.2)
|
0.1 (0.2)
|
0.0 (0.0)
|
|
Repo
|
1.1
|
0.2 (0.6)
|
0.2 (0.6)
|
0.4 (0.8)
|
0.3 (0.7)
|
|
Other Liabilities
|
8.8
|
4.0 (4.3)
|
3.5 (4.0)
|
6.3 (4.6)
|
7.1 (5.1)
|
|
Total Equity
|
9.6
|
10.0 (3.7)
|
10.0 (3.8)
|
9.8 (2.7)
|
13.5 (4.8)
|
|
Common Stock
|
0.2
|
0.4 (0.7)
|
0.4 (0.7)
|
0.2 (0.6)
|
0.7 (1.0)
|
|
Preferred Stock
|
0.0
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
0.0 (0.0)
|
|
Retained Earnings
|
4.5
|
7.2 (4.2)
|
7.4 (4.3)
|
6.1 (3.2)
|
7.7 (5.5)
|
|
Note:
|
|
Values are percentages of total assets. Row 1 shows number
of banks. Column (1) is aggregate. Columns (2)-(5) are bank-level
averages. Standard deviations in parentheses. All bank-level statistics
(Cols 2-5) are winsorized at the 5th and 95th percentiles.
|
Summary Statistics
#>
#> === SUMMARY STATISTICS ===
Table 1: Summary Statistics - Baseline Sample (Banks with OMO-Eligible
Assets)
|
Variable
|
N
|
Mean
|
SD
|
Min
|
P25
|
Median
|
P75
|
Max
|
|
book_equity_to_asset
|
4251
|
9.442
|
4.142
|
2.023
|
7.127
|
8.812
|
10.794
|
34.023
|
|
borrowing_subsidy
|
4251
|
0.070
|
0.050
|
0.000
|
0.032
|
0.066
|
0.099
|
0.258
|
|
cash_to_asset
|
4251
|
7.915
|
8.337
|
0.837
|
2.658
|
4.993
|
9.948
|
51.203
|
|
fhlb_to_asset
|
4251
|
2.630
|
3.992
|
0.000
|
0.000
|
0.404
|
4.120
|
20.443
|
|
idcr_1
|
4251
|
0.351
|
0.623
|
-0.254
|
0.148
|
0.247
|
0.388
|
6.907
|
|
idcr_2
|
4251
|
0.105
|
0.347
|
-0.599
|
-0.013
|
0.068
|
0.160
|
3.401
|
|
insolvency_1
|
4251
|
0.080
|
0.047
|
-0.029
|
0.054
|
0.075
|
0.099
|
0.332
|
|
insolvency_2
|
4251
|
0.067
|
0.060
|
-0.144
|
0.038
|
0.065
|
0.093
|
0.344
|
|
log_assets
|
4251
|
12.905
|
1.464
|
8.320
|
11.925
|
12.735
|
13.659
|
20.187
|
|
median_pct_mtm_loss
|
4251
|
5.259
|
0.000
|
5.259
|
5.259
|
5.259
|
5.259
|
5.259
|
|
median_pct_runable
|
4251
|
25.179
|
0.000
|
25.179
|
25.179
|
25.179
|
25.179
|
25.179
|
|
median_pct_uninsured
|
4251
|
25.808
|
0.000
|
25.808
|
25.808
|
25.808
|
25.808
|
25.808
|
|
omo_eligible_ratio
|
4251
|
10.516
|
9.659
|
0.001
|
3.261
|
7.758
|
14.804
|
45.194
|
|
pct_liquidity_available
|
4251
|
9.041
|
9.092
|
0.920
|
3.034
|
5.844
|
11.456
|
53.161
|
|
pct_mtm_loss
|
4251
|
5.488
|
2.148
|
0.534
|
3.887
|
5.333
|
6.990
|
10.730
|
|
pct_uninsured
|
4251
|
27.676
|
13.696
|
3.142
|
18.097
|
25.944
|
35.126
|
74.047
|
|
pct_wholesale_liability
|
4251
|
0.905
|
2.165
|
0.000
|
0.000
|
0.000
|
0.542
|
12.243
|
|
run_risk_1
|
4251
|
146.056
|
83.500
|
2.779
|
83.550
|
133.157
|
194.236
|
406.285
|
|
run_risk_1_dummy
|
4251
|
0.238
|
0.426
|
0.000
|
0.000
|
0.000
|
0.000
|
1.000
|
|
run_risk_2
|
4251
|
143.600
|
81.086
|
2.446
|
82.861
|
130.870
|
191.094
|
390.102
|
|
run_risk_2_dummy
|
4251
|
0.244
|
0.429
|
0.000
|
0.000
|
0.000
|
0.000
|
1.000
|
|
wholesale_liab_ratio
|
4251
|
0.008
|
0.020
|
0.000
|
0.000
|
0.000
|
0.005
|
0.110
|
Table 2: Summary Statistics by BTFP Usage
|
btfp_user
|
N
|
% Uninsured
|
% Wholesale Liab
|
% MTM Loss
|
Borrowing Subsidy
|
Run Risk 1
|
IDCR 100 Run
|
insovency 100 Run
|
FHLB/Assets
|
Log Assets
|
|
Non-User
|
3798
|
27.151
|
0.842
|
5.413
|
0.069
|
140.979
|
0.107
|
0.069
|
2.476
|
12.804
|
|
BTFP User
|
453
|
32.073
|
1.434
|
6.112
|
0.081
|
188.622
|
0.087
|
0.048
|
3.924
|
13.753
|
Table 2: Summary Statistics by BTFP Usage
|
btfp_user
|
N
|
% Uninsured
|
% Wholesale Liab
|
% MTM Loss
|
Borrowing Subsidy
|
Run Risk D 1
|
Run Risk D 2
|
IDCR 100 Run
|
insovency 100 Run
|
FHLB/Assets
|
Log Assets
|
|
Non-User
|
3798
|
27.151
|
0.842
|
5.413
|
0.069
|
0.217
|
0.223
|
0.107
|
0.069
|
2.476
|
12.804
|
|
BTFP User
|
453
|
32.073
|
1.434
|
6.112
|
0.081
|
0.413
|
0.417
|
0.087
|
0.048
|
3.924
|
13.753
|
Table 3: BTFP Usage Across Subsamples
|
Subsample
|
N
|
BTFP Users
|
BTFP Rate (%)
|
|
Baseline
|
4251
|
453
|
10.66
|
|
Small Banks
|
3537
|
307
|
8.68
|
|
Large Banks
|
714
|
146
|
20.45
|
|
No DW
|
3866
|
363
|
9.39
|
|
Choice
|
748
|
453
|
60.56
|
#>
#> === SUMMARY BY INSOLVENCY STATUS ===
Table 3a: Insolvency Status and BTFP Usage - All Measures
|
Scenario
|
Status
|
N
|
% of Sample
|
% Used BTFP
|
% Used DW
|
% Used Any Fed Facility
|
Mean Coverage Ratio
|
Median Coverage Ratio
|
Mean Borrowing Subsidy
|
Mean Run Risk 1
|
|
Insolvency 1: IDCR (50% Uninsured Run)
|
|
IDCR (s=0.5)
|
Solvent
|
4072
|
95.789
|
10.732
|
8.890
|
17.485
|
0.372
|
0.254
|
0.071
|
147.946
|
|
IDCR (s=0.5)
|
Insolvent
|
179
|
4.211
|
8.939
|
12.849
|
20.112
|
-0.117
|
-0.081
|
0.059
|
103.049
|
|
Insolvency 2: IDCR (100% Uninsured Run)
|
|
IDCR (s=1.0)
|
Solvent
|
3041
|
71.536
|
10.720
|
8.747
|
17.264
|
0.194
|
0.115
|
0.070
|
139.453
|
|
IDCR (s=1.0)
|
Insolvent
|
1210
|
28.464
|
10.496
|
9.835
|
18.430
|
-0.121
|
-0.069
|
0.070
|
162.649
|
|
Insolvency 3: Capital Metric (50% Uninsured Run)
|
|
Capital Metric (s=0.5)
|
Solvent
|
4157
|
97.789
|
10.585
|
8.828
|
17.416
|
0.083
|
0.076
|
0.070
|
145.120
|
|
Capital Metric (s=0.5)
|
Insolvent
|
94
|
2.211
|
13.830
|
19.149
|
25.532
|
-0.019
|
-0.022
|
0.069
|
187.440
|
|
Insolvency 4: Capital Metric (100% Uninsured Run)
|
|
Capital Metric (s=1.0)
|
Solvent
|
3925
|
92.331
|
10.344
|
8.637
|
16.968
|
0.077
|
0.069
|
0.070
|
141.113
|
|
Capital Metric (s=1.0)
|
Insolvent
|
326
|
7.669
|
14.417
|
14.110
|
25.153
|
-0.051
|
-0.036
|
0.072
|
205.566
|
#> ✓ Insolvency summary table created
Table 3b: Insolvency Measures - Comparison of BTFP Usage Rates
|
|
BTFP Usage Rate (%)
|
|
Insolvency Measure
|
N Insolvent
|
% Insolvent
|
BTFP Rate (Insolvent)
|
BTFP Rate (Solvent)
|
Difference
|
|
Insolvency 1 (IDCR s=0.5)
|
179
|
4.21
|
8.94
|
10.73
|
-1.79
|
|
Insolvency 2 (IDCR s=1.0)
|
1210
|
28.46
|
10.50
|
10.72
|
-0.22
|
|
Insolvency 3 (Equity s=0.5)
|
94
|
2.21
|
13.83
|
10.58
|
3.25
|
|
Insolvency 4 (Equity s=1.0)
|
326
|
7.67
|
14.42
|
10.34
|
4.07
|
#> ✓ Detailed insolvency comparison table created
Table 3c: Descriptive Statistics - Insolvency Measures
|
statistic
|
Insolvency 1 (IDCR)
|
Insolvency 2 (IDCR)
|
Insolvency 3 (Equity)
|
Insolvency 4 (Equity)
|
|
Mean
|
0.3512
|
0.1046
|
0.0805
|
0.0667
|
|
SD
|
0.6229
|
0.3468
|
0.0468
|
0.0598
|
|
Median
|
0.2466
|
0.0684
|
0.0753
|
0.0649
|
|
P25
|
0.1476
|
-0.0125
|
0.0544
|
0.0384
|
|
P75
|
0.3880
|
0.1599
|
0.0986
|
0.0931
|
|
Min
|
-0.2542
|
-0.5986
|
-0.0295
|
-0.1440
|
|
Max
|
6.9071
|
3.4010
|
0.3324
|
0.3441
|
#> ✓ Insolvency descriptive statistics table created
Alternative Size category
Table 3d: Insolvency Measures by Bank Size
|
size_category
|
N
|
% Insolvent (IDCR s=0.5)
|
% Insolvent (IDCR s=1.0)
|
% Insolvent (Equity s=0.5)
|
% Insolvent (Equity s=1.0)
|
Mean Insolvency 1
|
Mean Insolvency 2
|
Mean Insolvency 3
|
Mean Insolvency 4
|
BTFP Usage Rate (%)
|
|
Small
|
1403
|
3.21
|
24.38
|
9.27
|
8.47
|
0.31
|
0.13
|
0.09
|
0.08
|
3.85
|
|
Medium
|
1445
|
4.36
|
31.07
|
7.54
|
6.17
|
0.29
|
0.07
|
0.08
|
0.06
|
10.52
|
|
Large
|
1403
|
5.06
|
29.86
|
7.34
|
5.39
|
0.46
|
0.11
|
0.07
|
0.05
|
17.61
|
#> ✓ Insolvency by size table created
Distribution Plots
#>
#> === CREATING DISTRIBUTION PLOTS ===
#> ✓ Distribution plots created and saved
#>
#> === CREATING RISK DUMMY DISTRIBUTION PLOTS ===
#> ✓ Risk dummy distribution plots created and saved
Extensive Margin Models
Baseline Sample
#> ================================================================================
#> EXTENSIVE MARGIN MODELS (1): BASELINE SAMPLE
#> ================================================================================
#> Sample: Banks with OMO-eligible assets
#> N = 4251
#> ================================================================================
#> model_A1.. model_A2.. model_A3..
#> A.1: Basic A.2: Run Risk 1 A.3: Run Risk 2
#> Dependent Var.: btfp_user btfp_user btfp_user
#>
#> Constant -2.614*** -2.612*** -2.614***
#> (0.0789) (0.0787) (0.0786)
#> pct_uninsured_z 0.2474*** 0.0844 0.0517
#> (0.0630) (0.1617) (0.1554)
#> pct_wholesale_liability_z 0.1582*** 0.1573*** 0.1306***
#> (0.0444) (0.0443) (0.0481)
#> pct_mtm_loss_z 0.2289*** 0.0961 0.0613
#> (0.0644) (0.1365) (0.1372)
#> cash_to_asset_z 0.2370 0.2460 0.2464
#> (0.3601) (0.3631) (0.3629)
#> pct_liquidity_available_z -0.8273** -0.8252** -0.8220**
#> (0.3791) (0.3822) (0.3817)
#> borrowing_subsidy_z -0.1176** -0.1190** -0.1190**
#> (0.0595) (0.0596) (0.0596)
#> fhlb_to_asset_z 0.1763*** 0.1796*** 0.2033***
#> (0.0517) (0.0517) (0.0554)
#> book_equity_to_asset_z -0.4722*** -0.4629*** -0.4557***
#> (0.0883) (0.0893) (0.0903)
#> log_assets_z 0.4182*** 0.4199*** 0.4228***
#> (0.0616) (0.0615) (0.0617)
#> run_risk_1_z 0.1817
#> (0.1629)
#> run_risk_2_z 0.2275
#> (0.1624)
#> _________________________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251 4,251
#> Pseudo R2 0.11198 0.11242 0.11268
#> AIC 2,581.5 2,582.2 2,581.5
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
#> model_B1.. model_B2..
#> B.1: IDCR (s=0.5) B.2: IDCR (s=1.0)
#> Dependent Var.: btfp_user btfp_user
#>
#> Constant -2.620*** -2.617***
#> (0.0800) (0.0791)
#> pct_uninsured_z 0.2800*** 0.2527***
#> (0.0730) (0.0635)
#> pct_wholesale_liability_z 0.1653*** 0.1651***
#> (0.0446) (0.0455)
#> pct_mtm_loss_z 0.2333*** 0.2329***
#> (0.0646) (0.0647)
#> borrowing_subsidy_z -0.1182** -0.1187**
#> (0.0596) (0.0597)
#> idcr_1_z -0.0862
#> (0.1016)
#> cash_to_asset_z 0.2443 0.2393
#> (0.3608) (0.3601)
#> pct_liquidity_available_z -0.8232** -0.8216**
#> (0.3795) (0.3784)
#> fhlb_to_asset_z 0.1815*** 0.1824***
#> (0.0521) (0.0530)
#> book_equity_to_asset_z -0.4601*** -0.4593***
#> (0.0906) (0.0927)
#> log_assets_z 0.4170*** 0.4176***
#> (0.0619) (0.0617)
#> idcr_2_z -0.0504
#> (0.0862)
#> insolvency_1_z
#>
#> insolvency_2_z
#>
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251
#> Pseudo R2 0.11225 0.11211
#> AIC 2,582.7 2,583.1
#>
#> model_B3.. model_B4..
#> B.3: Equity (s=0.5) B.4: Equity (s=1.0)
#> Dependent Var.: btfp_user btfp_user
#>
#> Constant -2.615*** -2.615***
#> (0.0790) (0.0790)
#> pct_uninsured_z 0.2557*** 0.2576***
#> (0.0691) (0.0691)
#> pct_wholesale_liability_z 0.1568*** 0.1565***
#> (0.0446) (0.0446)
#> pct_mtm_loss_z 0.2254*** 0.2246***
#> (0.0648) (0.0648)
#> borrowing_subsidy_z -0.1176** -0.1177**
#> (0.0596) (0.0596)
#> idcr_1_z
#>
#> cash_to_asset_z 0.2358 0.2350
#> (0.3610) (0.3614)
#> pct_liquidity_available_z -0.8295** -0.8295**
#> (0.3798) (0.3801)
#> fhlb_to_asset_z 0.1796*** 0.1803***
#> (0.0520) (0.0520)
#> book_equity_to_asset_z -0.5250*** -0.5050***
#> (0.1686) (0.1163)
#> log_assets_z 0.4186*** 0.4187***
#> (0.0617) (0.0617)
#> idcr_2_z
#>
#> insolvency_1_z 0.0583
#> (0.1563)
#> insolvency_2_z 0.0445
#> (0.0989)
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251
#> Pseudo R2 0.11204 0.11207
#> AIC 2,583.3 2,583.2
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
#> ================================================================================
#> EXTENSIVE MARGIN MODELS (2): BASELINE SAMPLE
#> ================================================================================
#> Sample: Banks with OMO-eligible assets
#> N = 4251
#> ================================================================================
#> model_C1.. model_C2..
#> C.1: Basic C.2: Run Risk Dummy 1
#> Dependent Var.: btfp_user btfp_user
#>
#> Constant -2.614*** -2.611***
#> (0.0789) (0.0785)
#> pct_uninsured_z 0.2474*** 0.1907***
#> (0.0630) (0.0730)
#> pct_wholesale_liability_z 0.1582*** 0.1563***
#> (0.0444) (0.0442)
#> pct_mtm_loss_z 0.2289*** 0.1673**
#> (0.0644) (0.0748)
#> cash_to_asset_z 0.2370 0.2553
#> (0.3601) (0.3633)
#> pct_liquidity_available_z -0.8273** -0.8328**
#> (0.3791) (0.3826)
#> borrowing_subsidy_z -0.1176** -0.1178**
#> (0.0595) (0.0596)
#> fhlb_to_asset_z 0.1763*** 0.1816***
#> (0.0517) (0.0517)
#> book_equity_to_asset_z -0.4722*** -0.4582***
#> (0.0883) (0.0885)
#> log_assets_z 0.4182*** 0.4197***
#> (0.0616) (0.0615)
#> run_risk_1_dummy_z 0.1037*
#> (0.0587)
#> run_risk_2_dummy_z
#>
#> idcr_2_z
#>
#> insolvency_2_z
#>
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251
#> Pseudo R2 0.11198 0.11313
#> AIC 2,581.5 2,580.1
#>
#> model_C3.. model_B2..
#> C.3: Run Risk Dummy 2 B.2: IDCR (s=1.0)
#> Dependent Var.: btfp_user btfp_user
#>
#> Constant -2.612*** -2.617***
#> (0.0786) (0.0791)
#> pct_uninsured_z 0.1914*** 0.2527***
#> (0.0725) (0.0635)
#> pct_wholesale_liability_z 0.1465*** 0.1651***
#> (0.0445) (0.0455)
#> pct_mtm_loss_z 0.1656** 0.2329***
#> (0.0746) (0.0647)
#> cash_to_asset_z 0.2507 0.2393
#> (0.3632) (0.3601)
#> pct_liquidity_available_z -0.8276** -0.8216**
#> (0.3826) (0.3784)
#> borrowing_subsidy_z -0.1179** -0.1187**
#> (0.0596) (0.0597)
#> fhlb_to_asset_z 0.1896*** 0.1824***
#> (0.0521) (0.0530)
#> book_equity_to_asset_z -0.4588*** -0.4593***
#> (0.0887) (0.0927)
#> log_assets_z 0.4206*** 0.4176***
#> (0.0616) (0.0617)
#> run_risk_1_dummy_z
#>
#> run_risk_2_dummy_z 0.1070*
#> (0.0590)
#> idcr_2_z -0.0504
#> (0.0862)
#> insolvency_2_z
#>
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251
#> Pseudo R2 0.11318 0.11211
#> AIC 2,580.0 2,583.1
#>
#> model_B4..
#> B.4: Equity (s=1.0)
#> Dependent Var.: btfp_user
#>
#> Constant -2.615***
#> (0.0790)
#> pct_uninsured_z 0.2576***
#> (0.0691)
#> pct_wholesale_liability_z 0.1565***
#> (0.0446)
#> pct_mtm_loss_z 0.2246***
#> (0.0648)
#> cash_to_asset_z 0.2350
#> (0.3614)
#> pct_liquidity_available_z -0.8295**
#> (0.3801)
#> borrowing_subsidy_z -0.1177**
#> (0.0596)
#> fhlb_to_asset_z 0.1803***
#> (0.0520)
#> book_equity_to_asset_z -0.5050***
#> (0.1163)
#> log_assets_z 0.4187***
#> (0.0617)
#> run_risk_1_dummy_z
#>
#> run_risk_2_dummy_z
#>
#> idcr_2_z
#>
#> insolvency_2_z 0.0445
#> (0.0989)
#> _________________________ __________
#> S.E. type Hete.-rob.
#> Observations 4,251
#> Pseudo R2 0.11207
#> AIC 2,583.2
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
Size Subsamples
#> ================================================================================
#> EXTENSIVE MARGIN MODELS: SIZE SUBSAMPLES
#> ================================================================================
#>
#> --- SMALL BANKS (N = 3537 ) ---
#>
#> --- LARGE BANKS (N = 714 ) ---
#> model_A1.. model_A2.. model_A3.. model_B1..
#> Small: A.1 Small: A.2 Small: A.3 Small: B.1
#> Dependent Var.: btfp_user btfp_user btfp_user btfp_user
#>
#> Constant -2.577*** -2.573*** -2.575*** -2.588***
#> (0.0846) (0.0846) (0.0848) (0.0852)
#> pct_uninsured_z 0.2719*** 0.1844* 0.1912** 0.3192***
#> (0.0811) (0.0987) (0.0965) (0.0943)
#> pct_wholesale_liability_z 0.1529*** 0.1488*** 0.1355*** 0.1626***
#> (0.0514) (0.0515) (0.0523) (0.0522)
#> pct_mtm_loss_z 0.2347*** 0.1669* 0.1668* 0.2407***
#> (0.0769) (0.0870) (0.0867) (0.0773)
#> cash_to_asset_z 0.1748 0.1902 0.1855 0.1821
#> (0.3698) (0.3762) (0.3764) (0.3733)
#> pct_liquidity_available_z -0.7607** -0.7619* -0.7577* -0.7611*
#> (0.3871) (0.3939) (0.3943) (0.3907)
#> borrowing_subsidy_z -0.0931 -0.0941 -0.0938 -0.0952
#> (0.0687) (0.0686) (0.0686) (0.0686)
#> fhlb_to_asset_z 0.1737*** 0.1793*** 0.1890*** 0.1820***
#> (0.0620) (0.0618) (0.0621) (0.0621)
#> book_equity_to_asset_z -0.4606*** -0.4405*** -0.4419*** -0.4383***
#> (0.1025) (0.1025) (0.1029) (0.1079)
#> log_assets_z 0.6480*** 0.6532*** 0.6491*** 0.6388***
#> (0.1273) (0.1273) (0.1275) (0.1282)
#> run_risk_1_dummy_z 0.1276*
#> (0.0715)
#> run_risk_2_dummy_z 0.1269*
#> (0.0712)
#> idcr_1_z -0.1330
#> (0.1036)
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 3,537 3,537 3,537 3,537
#> Pseudo R2 0.10336 0.10494 0.10490 0.10378
#> AIC 1,891.5 1,890.2 1,890.3 1,892.7
#>
#> model_A.. model_A...1 model_A...2 model_B..
#> Large: A.1 Large: A.2 Large: A.3 Large: B.1
#> Dependent Var.: btfp_user btfp_user btfp_user btfp_user
#>
#> Constant -2.381*** -2.387*** -2.387*** -2.383***
#> (0.3369) (0.3374) (0.3376) (0.3433)
#> pct_uninsured_z 0.1685* 0.1546 0.1519 0.1733
#> (0.1009) (0.1108) (0.1117) (0.1130)
#> pct_wholesale_liability_z 0.1739** 0.1748** 0.1725** 0.1752**
#> (0.0885) (0.0882) (0.0877) (0.0886)
#> pct_mtm_loss_z 0.1779 0.1467 0.1428 0.1788
#> (0.1169) (0.1476) (0.1477) (0.1165)
#> cash_to_asset_z 0.1820 0.1951 0.1930 0.1818
#> (1.319) (1.329) (1.330) (1.321)
#> pct_liquidity_available_z -0.6611 -0.6654 -0.6616 -0.6566
#> (1.465) (1.475) (1.476) (1.442)
#> borrowing_subsidy_z -0.1398 -0.1413 -0.1420 -0.1398
#> (0.1136) (0.1142) (0.1141) (0.1136)
#> fhlb_to_asset_z 0.1913** 0.1944** 0.1984** 0.1920**
#> (0.0952) (0.0962) (0.0980) (0.0959)
#> book_equity_to_asset_z -0.4775** -0.4745** -0.4741** -0.4768**
#> (0.1938) (0.1947) (0.1947) (0.1938)
#> log_assets_z 0.3252** 0.3267** 0.3272** 0.3259**
#> (0.1270) (0.1273) (0.1273) (0.1285)
#> run_risk_1_dummy_z 0.0421
#> (0.1135)
#> run_risk_2_dummy_z 0.0487
#> (0.1156)
#> idcr_1_z -0.0114
#> (0.1487)
#> _________________________ _________ _________ _________ _________
#> S.E. type Het.-rob. Het.-rob. Het.-rob. Het.-rob.
#> Observations 714 714 714 714
#> Pseudo R2 0.05600 0.05623 0.05630 0.05601
#> AIC 702.85 704.68 704.63 704.84
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
No DW Borrowers
#> ================================================================================
#> EXTENSIVE MARGIN MODELS: NO DW BORROWERS
#> ================================================================================
#> Sample: Banks with OMO-eligible assets, excluding DW users
#> N = 3866
#> ================================================================================
#> model_A1.. model_A2.. model_A3.. model_B1..
#> A.1 A.2 A.3 B.1
#> Dependent Var.: btfp_user btfp_user btfp_user btfp_user
#>
#> Constant -2.701*** -2.697*** -2.699*** -2.728***
#> (0.0872) (0.0867) (0.0868) (0.0874)
#> pct_uninsured_z 0.2208*** 0.1483* 0.1410* 0.3289***
#> (0.0700) (0.0827) (0.0822) (0.0804)
#> pct_wholesale_liability_z 0.1685*** 0.1667*** 0.1526*** 0.1939***
#> (0.0503) (0.0500) (0.0503) (0.0519)
#> pct_mtm_loss_z 0.2482*** 0.1785** 0.1682** 0.2623***
#> (0.0702) (0.0812) (0.0809) (0.0710)
#> cash_to_asset_z 0.1038 0.1232 0.1241 0.1344
#> (0.3875) (0.3919) (0.3935) (0.3909)
#> pct_liquidity_available_z -0.7533* -0.7601* -0.7588* -0.7546*
#> (0.4030) (0.4079) (0.4099) (0.4073)
#> borrowing_subsidy_z -0.0964 -0.0964 -0.0975 -0.0972
#> (0.0654) (0.0655) (0.0654) (0.0654)
#> fhlb_to_asset_z 0.1832*** 0.1880*** 0.2003*** 0.2036***
#> (0.0561) (0.0561) (0.0563) (0.0576)
#> book_equity_to_asset_z -0.4556*** -0.4381*** -0.4369*** -0.4113***
#> (0.0972) (0.0974) (0.0977) (0.1031)
#> log_assets_z 0.3782*** 0.3824*** 0.3835*** 0.3752***
#> (0.0673) (0.0673) (0.0674) (0.0682)
#> run_risk_1_dummy_z 0.1235*
#> (0.0652)
#> run_risk_2_dummy_z 0.1424**
#> (0.0651)
#> idcr_1_z -0.3185***
#> (0.1216)
#> idcr_2_z
#>
#> insolvency_1_z
#>
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 3,866 3,866 3,866 3,866
#> Pseudo R2 0.10538 0.10697 0.10747 0.10756
#> AIC 2,174.4 2,172.6 2,171.4 2,171.2
#>
#> model_B2.. model_B3..
#> B.2 B.3
#> Dependent Var.: btfp_user btfp_user
#>
#> Constant -2.714*** -2.701***
#> (0.0864) (0.0870)
#> pct_uninsured_z 0.2369*** 0.2117***
#> (0.0712) (0.0762)
#> pct_wholesale_liability_z 0.1931*** 0.1701***
#> (0.0525) (0.0507)
#> pct_mtm_loss_z 0.2607*** 0.2515***
#> (0.0706) (0.0704)
#> cash_to_asset_z 0.1162 0.1067
#> (0.3890) (0.3876)
#> pct_liquidity_available_z -0.7451* -0.7536*
#> (0.4049) (0.4029)
#> borrowing_subsidy_z -0.0986 -0.0963
#> (0.0654) (0.0654)
#> fhlb_to_asset_z 0.2056*** 0.1801***
#> (0.0586) (0.0559)
#> book_equity_to_asset_z -0.4100*** -0.3972**
#> (0.1041) (0.1811)
#> log_assets_z 0.3767*** 0.3774***
#> (0.0678) (0.0671)
#> run_risk_1_dummy_z
#>
#> run_risk_2_dummy_z
#>
#> idcr_1_z
#>
#> idcr_2_z -0.1814*
#> (0.0969)
#> insolvency_1_z -0.0647
#> (0.1653)
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 3,866 3,866
#> Pseudo R2 0.10663 0.10545
#> AIC 2,173.4 2,176.3
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
Choice Model (BTFP vs DW)
#> ================================================================================
#> CONDITIONAL CHOICE MODELS: BTFP vs DW
#> ================================================================================
#> Sample: Banks that borrowed from either BTFP or DW
#> N = 748
#> ================================================================================
#> model_A1_.. model_A2_.. model_A3_.. model_B2_..
#> A.1 A.2 A.3 B.2
#> Dependent Var.: choice_btfp choice_btfp choice_btfp choice_btfp
#>
#> Constant 0.0381 0.0382 0.0404 0.0556
#> (0.1097) (0.1100) (0.1099) (0.1112)
#> pct_uninsured_z 0.1056 0.1047 0.0859 0.0997
#> (0.1032) (0.1188) (0.1176) (0.1047)
#> pct_wholesale_liability_z 0.0249 0.0249 0.0199 0.0070
#> (0.0663) (0.0665) (0.0673) (0.0721)
#> pct_mtm_loss_z 0.1233 0.1223 0.1011 0.1131
#> (0.1105) (0.1216) (0.1231) (0.1109)
#> cash_to_asset_z 0.1600 0.1603 0.1613 0.1943
#> (0.3620) (0.3629) (0.3625) (0.3656)
#> pct_liquidity_available_z -0.6730* -0.6729* -0.6651* -0.7131*
#> (0.3598) (0.3602) (0.3608) (0.3648)
#> borrowing_subsidy_z -0.2170** -0.2172** -0.2190** -0.2144**
#> (0.0942) (0.0945) (0.0944) (0.0944)
#> fhlb_to_asset_z 0.1638* 0.1640* 0.1699* 0.1532
#> (0.0916) (0.0921) (0.0931) (0.0947)
#> book_equity_to_asset_z -0.3439*** -0.3436** -0.3385** -0.3725***
#> (0.1320) (0.1339) (0.1332) (0.1394)
#> log_assets_z -0.2925*** -0.2925*** -0.2929*** -0.2933***
#> (0.1111) (0.1113) (0.1110) (0.1114)
#> run_risk_1_dummy_z 0.0017
#> (0.0923)
#> run_risk_2_dummy_z 0.0388
#> (0.0949)
#> idcr_2_z 0.1411
#> (0.1953)
#> insolvency_2_z
#>
#> _________________________ ___________ ___________ ___________ ___________
#> S.E. type Heter.-rob. Heter.-rob. Heter.-rob. Heter.-rob.
#> Observations 658 658 658 658
#> Pseudo R2 0.04941 0.04941 0.04961 0.05005
#> AIC 880.42 882.42 882.24 881.84
#>
#> model_B4_..
#> B.4
#> Dependent Var.: choice_btfp
#>
#> Constant 0.0428
#> (0.1102)
#> pct_uninsured_z 0.1318
#> (0.1113)
#> pct_wholesale_liability_z 0.0241
#> (0.0664)
#> pct_mtm_loss_z 0.1067
#> (0.1121)
#> cash_to_asset_z 0.1759
#> (0.3669)
#> pct_liquidity_available_z -0.6891*
#> (0.3650)
#> borrowing_subsidy_z -0.2140**
#> (0.0946)
#> fhlb_to_asset_z 0.1792*
#> (0.0924)
#> book_equity_to_asset_z -0.4274**
#> (0.1715)
#> log_assets_z -0.2924***
#> (0.1117)
#> run_risk_1_dummy_z
#>
#> run_risk_2_dummy_z
#>
#> idcr_2_z
#>
#> insolvency_2_z 0.1148
#> (0.1504)
#> _________________________ ___________
#> S.E. type Heter.-rob.
#> Observations 658
#> Pseudo R2 0.05013
#> AIC 881.77
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
Intensive Margin Models
Baseline Sample
#> ================================================================================
#> INTENSIVE MARGIN MODELS: BASELINE SAMPLE
#> ================================================================================
#> Sample: BTFP users only
#> N = 453
#> ================================================================================
#> intensiv.. intensiv...1
#> A.1: Basic A.2: Run Risk Dummy 1
#> Dependent Var.: btfp_amt_z btfp_amt_z
#>
#> Constant 2.814*** 2.816***
#> (0.0730) (0.0736)
#> pct_uninsured_z -0.0142 -0.0341
#> (0.0582) (0.0695)
#> pct_wholesale_liability_z 0.0974*** 0.0942***
#> (0.0246) (0.0246)
#> pct_mtm_loss_z 0.0788 0.0560
#> (0.0513) (0.0558)
#> cash_to_asset_z -0.2157 -0.2159
#> (0.1945) (0.1947)
#> pct_liquidity_available_z -0.0046 0.0057
#> (0.1520) (0.1539)
#> borrowing_subsidy_z -0.0375 -0.0370
#> (0.0432) (0.0432)
#> fhlb_to_asset_z 0.1313*** 0.1339***
#> (0.0351) (0.0349)
#> book_equity_to_asset_z -0.0800 -0.0731
#> (0.0682) (0.0680)
#> log_assets_z -0.2500*** -0.2485***
#> (0.0622) (0.0621)
#> run_risk_1_dummy_z 0.0406
#> (0.0436)
#> run_risk_2_dummy_z
#>
#> idcr_1_z
#>
#> idcr_2_z
#>
#> insolvency_1_z
#>
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 453 453
#> R2 0.16446 0.16638
#> Adj. R2 0.14748 0.14752
#> AIC 1,104.2 1,105.2
#>
#> intensiv...2 intensiv...3
#> A.3: Run Risk Dummy 2 B.1: Insol (s=0.5)
#> Dependent Var.: btfp_amt_z btfp_amt_z
#>
#> Constant 2.816*** 2.824***
#> (0.0737) (0.0702)
#> pct_uninsured_z -0.0393 -0.1101*
#> (0.0689) (0.0636)
#> pct_wholesale_liability_z 0.0882*** 0.0728***
#> (0.0257) (0.0256)
#> pct_mtm_loss_z 0.0476 0.0700
#> (0.0571) (0.0504)
#> cash_to_asset_z -0.2182 -0.1856
#> (0.1950) (0.1954)
#> pct_liquidity_available_z 0.0112 -0.1003
#> (0.1557) (0.1349)
#> borrowing_subsidy_z -0.0366 -0.0495
#> (0.0432) (0.0425)
#> fhlb_to_asset_z 0.1382*** 0.1123***
#> (0.0353) (0.0389)
#> book_equity_to_asset_z -0.0730 -0.1039
#> (0.0680) (0.0674)
#> log_assets_z -0.2478*** -0.2462***
#> (0.0620) (0.0624)
#> run_risk_1_dummy_z
#>
#> run_risk_2_dummy_z 0.0534
#> (0.0449)
#> idcr_1_z 0.2603***
#> (0.0736)
#> idcr_2_z
#>
#> insolvency_1_z
#>
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 453 453
#> R2 0.16758 0.18185
#> Adj. R2 0.14875 0.16334
#> AIC 1,104.5 1,096.7
#>
#> intensiv...4 intensiv...5
#> B.2: Insol (s=1.0) B.3: Insol (Equity)
#> Dependent Var.: btfp_amt_z btfp_amt_z
#>
#> Constant 2.822*** 2.814***
#> (0.0707) (0.0731)
#> pct_uninsured_z -0.0328 -0.0049
#> (0.0587) (0.0617)
#> pct_wholesale_liability_z 0.0753*** 0.0950***
#> (0.0290) (0.0249)
#> pct_mtm_loss_z 0.0709 0.0713
#> (0.0504) (0.0499)
#> cash_to_asset_z -0.1635 -0.2066
#> (0.1892) (0.1943)
#> pct_liquidity_available_z -0.0854 -0.0185
#> (0.1365) (0.1442)
#> borrowing_subsidy_z -0.0413 -0.0386
#> (0.0426) (0.0430)
#> fhlb_to_asset_z 0.1155*** 0.1398***
#> (0.0412) (0.0344)
#> book_equity_to_asset_z -0.1027 -0.1752
#> (0.0688) (0.1583)
#> log_assets_z -0.2465*** -0.2463***
#> (0.0632) (0.0626)
#> run_risk_1_dummy_z
#>
#> run_risk_2_dummy_z
#>
#> idcr_1_z
#>
#> idcr_2_z 0.1508*
#> (0.0914)
#> insolvency_1_z 0.1082
#> (0.1623)
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 453 453
#> R2 0.17362 0.16678
#> Adj. R2 0.15492 0.14793
#> AIC 1,101.2 1,105.0
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
Size Subsamples
#> ================================================================================
#> INTENSIVE MARGIN MODELS: SIZE SUBSAMPLES
#> ================================================================================
#> Small banks (BTFP users): 307
#> Large banks (BTFP users): 146
#> intensiv.. intensiv...1 intensiv...2 intensiv...3
#> Small: A.1 Small: A.2 Small: B.1 Small: B.3
#> Dependent Var.: btfp_amt_z btfp_amt_z btfp_amt_z btfp_amt_z
#>
#> Constant 2.849*** 2.847*** 2.872*** 2.852***
#> (0.0767) (0.0764) (0.0739) (0.0756)
#> pct_uninsured_z -0.0058 0.0007 -0.0143 0.0198
#> (0.0614) (0.0797) (0.0623) (0.0559)
#> pct_wholesale_liability_z 0.0370* 0.0377* 0.0132 0.0343*
#> (0.0211) (0.0208) (0.0225) (0.0205)
#> pct_mtm_loss_z 0.0114 0.0159 0.0078 0.0035
#> (0.0486) (0.0486) (0.0479) (0.0483)
#> cash_to_asset_z -0.2414 -0.2423 -0.2023 -0.2472
#> (0.1773) (0.1778) (0.1721) (0.1753)
#> pct_liquidity_available_z -0.0112 -0.0142 -0.0548 -0.0047
#> (0.1317) (0.1298) (0.1220) (0.1264)
#> borrowing_subsidy_z -0.0245 -0.0240 -0.0186 -0.0214
#> (0.0411) (0.0418) (0.0412) (0.0411)
#> fhlb_to_asset_z 0.0994*** 0.0987*** 0.0681** 0.1050***
#> (0.0267) (0.0269) (0.0306) (0.0276)
#> book_equity_to_asset_z -0.0523 -0.0543 -0.0782 -0.2144
#> (0.0703) (0.0701) (0.0712) (0.1565)
#> log_assets_z -0.0442 -0.0460 -0.0277 -0.0312
#> (0.0905) (0.0899) (0.0877) (0.0892)
#> run_risk_1_dummy_z -0.0088
#> (0.0445)
#> idcr_2_z 0.1926*
#> (0.1024)
#> insolvency_1_z 0.1857
#> (0.1528)
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 307 307 307 307
#> R2 0.08770 0.08785 0.10187 0.09530
#> Adj. R2 0.06006 0.05703 0.07153 0.06473
#>
#> intensiv...4 intensiv...5 intensiv...6 intensiv...7
#> Large: A.1 Large: A.2 Large: B.1 Large: B.3
#> Dependent Var.: btfp_amt_z btfp_amt_z btfp_amt_z btfp_amt_z
#>
#> Constant 3.215*** 3.208*** 3.115*** 3.207***
#> (0.2550) (0.2573) (0.3030) (0.2700)
#> pct_uninsured_z -0.0618 -0.0887 -0.0873 -0.0610
#> (0.0967) (0.1066) (0.0986) (0.0990)
#> pct_wholesale_liability_z 0.2182*** 0.2091*** 0.2011*** 0.2181***
#> (0.0580) (0.0567) (0.0705) (0.0590)
#> pct_mtm_loss_z 0.1470 0.0711 0.1312 0.1444
#> (0.1397) (0.1576) (0.1385) (0.1363)
#> cash_to_asset_z -1.480 -1.518 -0.6675 -1.417
#> (2.006) (2.050) (2.341) (2.201)
#> pct_liquidity_available_z 1.477 1.531 0.5655 1.409
#> (1.980) (2.039) (2.414) (2.211)
#> borrowing_subsidy_z -0.0014 0.0123 -0.0098 -0.0017
#> (0.1286) (0.1291) (0.1303) (0.1295)
#> fhlb_to_asset_z 0.2110** 0.2165*** 0.2068** 0.2140***
#> (0.0826) (0.0820) (0.0873) (0.0819)
#> book_equity_to_asset_z -0.1583 -0.1549 -0.1713 -0.1750
#> (0.1588) (0.1625) (0.1567) (0.2820)
#> log_assets_z -0.4018*** -0.4083*** -0.3887*** -0.4006***
#> (0.1273) (0.1263) (0.1261) (0.1259)
#> run_risk_1_dummy_z 0.1042
#> (0.0920)
#> idcr_2_z 0.1258
#> (0.1703)
#> insolvency_1_z 0.0195
#> (0.2667)
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 146 146 146 146
#> R2 0.22246 0.22996 0.22653 0.22251
#> Adj. R2 0.17100 0.17292 0.16924 0.16492
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
Other Subsamples
#> ================================================================================
#> INTENSIVE MARGIN MODELS: OTHER SUBSAMPLES
#> ================================================================================
#> No DW (BTFP users): 363
#> Choice sample (BTFP choosers): 453
#> intensiv.. intensiv...1 intensiv...2 intensiv...3
#> No DW: A.1 No DW: A.2 No DW: B.2 No DW: B.3
#> Dependent Var.: btfp_amt_z btfp_amt_z btfp_amt_z btfp_amt_z
#>
#> Constant 2.954*** 2.955*** 2.956*** 2.949***
#> (0.0667) (0.0676) (0.0640) (0.0649)
#> pct_uninsured_z -0.0725 -0.1026 -0.0734 -0.0804
#> (0.0614) (0.0756) (0.0628) (0.0610)
#> pct_wholesale_liability_z 0.0622** 0.0585* 0.0610* 0.0629**
#> (0.0239) (0.0238) (0.0262) (0.0239)
#> pct_mtm_loss_z 0.0858 0.0583 0.0854 0.0909*
#> (0.0450) (0.0510) (0.0444) (0.0440)
#> cash_to_asset_z 0.0637 0.0634 0.0673 0.0552
#> (0.1643) (0.1665) (0.1620) (0.1628)
#> pct_liquidity_available_z -0.0808 -0.0691 -0.0838 -0.0800
#> (0.1448) (0.1482) (0.1464) (0.1474)
#> borrowing_subsidy_z -0.1166** -0.1191** -0.1166** -0.1169**
#> (0.0420) (0.0423) (0.0421) (0.0419)
#> fhlb_to_asset_z 0.1085*** 0.1116*** 0.1077** 0.1017**
#> (0.0320) (0.0314) (0.0339) (0.0319)
#> book_equity_to_asset_z -0.1116 -0.1030 -0.1129 -0.0365
#> (0.0724) (0.0731) (0.0743) (0.1398)
#> log_assets_z -0.2039** -0.2006** -0.2037** -0.2065***
#> (0.0620) (0.0617) (0.0623) (0.0617)
#> run_risk_1_dummy_z 0.0534
#> (0.0428)
#> idcr_2_z 0.0098
#> (0.1026)
#> insolvency_1_z -0.0862
#> (0.1327)
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 363 363 363 363
#> R2 0.17862 0.18348 0.17866 0.18033
#> Adj. R2 0.15768 0.16028 0.15532 0.15705
#>
#> intensiv...4 intensiv...5 intensiv...6
#> Choice: A.1 Choice: B.2 Choice: B.3
#> Dependent Var.: btfp_amt_z btfp_amt_z btfp_amt_z
#>
#> Constant 2.814*** 2.822*** 2.814***
#> (0.0730) (0.0707) (0.0731)
#> pct_uninsured_z -0.0142 -0.0328 -0.0049
#> (0.0582) (0.0587) (0.0617)
#> pct_wholesale_liability_z 0.0974*** 0.0753** 0.0950***
#> (0.0246) (0.0290) (0.0249)
#> pct_mtm_loss_z 0.0788 0.0709 0.0713
#> (0.0513) (0.0504) (0.0499)
#> cash_to_asset_z -0.2157 -0.1635 -0.2066
#> (0.1945) (0.1892) (0.1943)
#> pct_liquidity_available_z -0.0046 -0.0854 -0.0185
#> (0.1520) (0.1365) (0.1442)
#> borrowing_subsidy_z -0.0375 -0.0413 -0.0386
#> (0.0432) (0.0426) (0.0430)
#> fhlb_to_asset_z 0.1313*** 0.1155** 0.1398***
#> (0.0351) (0.0412) (0.0344)
#> book_equity_to_asset_z -0.0800 -0.1027 -0.1752
#> (0.0682) (0.0688) (0.1583)
#> log_assets_z -0.2500*** -0.2465*** -0.2463***
#> (0.0622) (0.0632) (0.0626)
#> run_risk_1_dummy_z
#>
#> idcr_2_z 0.1508
#> (0.0914)
#> insolvency_1_z 0.1082
#> (0.1623)
#> _________________________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 453 453 453
#> R2 0.16446 0.17362 0.16678
#> Adj. R2 0.14748 0.15492 0.14793
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Robustness Checks
#> ================================================================================
#> ROBUSTNESS: ALTERNATIVE INSOLVENCY MEASURES
#> ================================================================================
#> robust_..1 robust_..2
#> Insolvency 1 (s=0.5) Insolvency 2 (s=1.0)
#> Dependent Var.: btfp_user btfp_user
#>
#> Constant -2.589*** -2.586***
#> (0.0757) (0.0750)
#> pct_uninsured_z 0.2660*** 0.2378***
#> (0.0722) (0.0631)
#> pct_wholesale_liability_z 0.1673*** 0.1677***
#> (0.0436) (0.0446)
#> pct_mtm_loss_z 0.2551*** 0.2550***
#> (0.0640) (0.0641)
#> borrowing_subsidy_z -0.1208** -0.1214**
#> (0.0593) (0.0594)
#> idcr_1_z -0.0910
#> (0.1001)
#> cash_to_asset_z -0.4986*** -0.5018***
#> (0.1185) (0.1194)
#> fhlb_to_asset_z 0.1958*** 0.1972***
#> (0.0507) (0.0516)
#> book_equity_to_asset_z -0.4670*** -0.4649***
#> (0.0908) (0.0930)
#> log_assets_z 0.4553*** 0.4558***
#> (0.0600) (0.0598)
#> idcr_2_z -0.0583
#> (0.0853)
#> insolvency_1_z
#>
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251
#> Pseudo R2 0.10932 0.10918
#> AIC 2,589.1 2,589.5
#>
#> robust_..3
#> Insolvency 3 (Equity)
#> Dependent Var.: btfp_user
#>
#> Constant -2.583***
#> (0.0751)
#> pct_uninsured_z 0.2391***
#> (0.0686)
#> pct_wholesale_liability_z 0.1578***
#> (0.0434)
#> pct_mtm_loss_z 0.2476***
#> (0.0641)
#> borrowing_subsidy_z -0.1204**
#> (0.0593)
#> idcr_1_z
#>
#> cash_to_asset_z -0.5136***
#> (0.1200)
#> fhlb_to_asset_z 0.1933***
#> (0.0505)
#> book_equity_to_asset_z -0.5289***
#> (0.1684)
#> log_assets_z 0.4572***
#> (0.0598)
#> idcr_2_z
#>
#> insolvency_1_z 0.0535
#> (0.1554)
#> _________________________ __________
#> S.E. type Hete.-rob.
#> Observations 4,251
#> Pseudo R2 0.10906
#> AIC 2,589.9
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
#> ================================================================================
#> ROBUSTNESS: INTERACTION EFFECTS
#> ================================================================================
#> robust_..1 robust_..2
#> Subsidy × Insolvency Subsidy × Run Risk
#> Dependent Var.: btfp_user btfp_user
#>
#> Constant -2.585*** -2.574***
#> (0.0752) (0.0748)
#> pct_uninsured_z 0.2384*** 0.1771**
#> (0.0633) (0.0722)
#> pct_wholesale_liability_z 0.1667*** 0.1491***
#> (0.0449) (0.0430)
#> pct_mtm_loss_z 0.2552*** 0.1816**
#> (0.0641) (0.0745)
#> borrowing_subsidy_z -0.1177* -0.1059*
#> (0.0607) (0.0619)
#> idcr_2_z -0.0512
#> (0.0964)
#> interact_subsidy_insol 0.0311
#> (0.0986)
#> cash_to_asset_z -0.5037*** -0.4960***
#> (0.1183) (0.1186)
#> fhlb_to_asset_z 0.1960*** 0.2028***
#> (0.0519) (0.0508)
#> book_equity_to_asset_z -0.4655*** -0.4646***
#> (0.0933) (0.0889)
#> log_assets_z 0.4541*** 0.4585***
#> (0.0599) (0.0597)
#> run_risk_2_dummy_z 0.1183**
#> (0.0602)
#> interact_subsidy_runrisk -0.0362
#> (0.0470)
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251
#> Pseudo R2 0.10922 0.11043
#> ---
#> Signif. codes: 0 '***' 0.01 '**' 0.05 '*' 0.1 ' ' 1
Visualizations
#> ================================================================================
#> MARGINAL EFFECTS VISUALIZATION
#> ================================================================================
Key Findings Summary
#> ================================================================================
#> KEY FINDINGS SUMMARY
#> ================================================================================
Table 13: Key Findings - Main Drivers of BTFP Usage
|
|
Variable
|
Coefficient
|
Std_Error
|
t_stat
|
p_value
|
significance
|
Direction
|
|
Risk Measures
|
|
pct_uninsured_z
|
% Uninsured Deposits
|
0.1907
|
0.0730
|
2.6117
|
0.0090
|
***
|
Increases BTFP usage
|
|
pct_mtm_loss_z
|
% MTM Loss
|
0.1673
|
0.0748
|
2.2376
|
0.0252
|
**
|
Increases BTFP usage
|
|
pct_wholesale_liability_z
|
% Wholesale Liability
|
0.1563
|
0.0442
|
3.5339
|
0.0004
|
***
|
Increases BTFP usage
|
|
run_risk_1_dummy_z
|
Run Risk Dummy 1
|
0.1037
|
0.0587
|
1.7654
|
0.0775
|
|
Increases BTFP usage
|
|
Liquidity & Funding
|
|
borrowing_subsidy_z
|
Borrowing Subsidy
|
-0.1178
|
0.0596
|
-1.9755
|
0.0482
|
**
|
Decreases BTFP usage
|
|
pct_liquidity_available_z
|
% Liquidity Available
|
-0.8328
|
0.3826
|
-2.1768
|
0.0295
|
**
|
Decreases BTFP usage
|
|
fhlb_to_asset_z
|
FHLB to Assets
|
0.1816
|
0.0517
|
3.5132
|
0.0004
|
***
|
Increases BTFP usage
|
|
Capital & Size
|
|
book_equity_to_asset_z
|
Book Equity to Assets
|
-0.4582
|
0.0885
|
-5.1778
|
0.0000
|
***
|
Decreases BTFP usage
|
|
log_assets_z
|
Log(Assets)
|
0.4197
|
0.0615
|
6.8269
|
0.0000
|
***
|
Increases BTFP usage
|
|
Insolvency Measure
|
|
idcr_2_z
|
Insolvency 2 (s=1.0)
|
-0.0504
|
0.0862
|
-0.5852
|
0.5584
|
|
Not significant
|
|
Notes:
|
|
*** p<0.01, ** p<0.05, * p<0.10. All variables are
standardized (z-scores).
|
#>
#> ✓ Key findings table created
Policy Implications
1. Borrowing Subsidies Don’t Drive Usage
The borrowing subsidy coefficient is negative (-0.12), which is
surprising. Banks with bigger subsidies were actually less* likely
to use BTFP. This suggests stigma or reputational concerns outweighed
financial incentives. Policy takeaway: cheap rates alone won’t make
banks use emergency facilities if they’re worried about looking
weak.
2. Run Risk Matters When Combined
Banks used BTFP when they had BOTH high uninsured deposits AND high
MTM losses (coefficient: 0.10*). Either risk alone wasn’t enough - it’s
the combination that matters. Regulators should watch for banks where
multiple vulnerabilities pile up.
3. Liquidity Drives Decisions
Banks with more liquid assets were much less likely to use BTFP
(-0.84). They clearly used BTFP as a last resort after using
their own cash buffers. But banks already borrowing from FHLB were more
likely to also use BTFP (0.18*), suggesting they were tapping
every available funding source during the crisis.
4. Size and Capital Effects
Larger banks used BTFP more (0.42), probably because they
could navigate the process faster and cared less about stigma.
Better-capitalized banks used it much less (-0.46), which
makes sense - they had stronger balance sheets.
5. Insolvency Measures Don’t Predict Usage
None of the insolvency measures are significant. This is good news -
it means BTFP was helping banks with temporary liquidity problems, not
propping up insolvent institutions.
Limitations
Sample: Only includes banks with eligible collateral
(~[X]% of system). Smaller banks without Treasury securities aren’t
here.
Timing: Risk measures from 2022Q4, before the crisis
hit. Captures pre-existing vulnerabilities but misses rapid changes in
early 2023.
What We Can’t See: Management quality, relationships
with regulators, and bank-specific circumstances that affected whether
they used BTFP. Some banks with similar balance sheets made different
choices.
Causality: These results show which banks
used BTFP, not whether BTFP caused anything. We can’t rule out
reverse causality or omitted variables completely.
Appendix: Variable Definitions
Dependent Variables
btfp_user |
BTFP usage (binary) |
= 1 if borrowed from BTFP during acute crisis (Mar 13 - Apr 30,
2023) |
btfp_amt_z |
BTFP amount (standardized) |
Log(1 + BTFP amount / assets), standardized |
choice_btfp |
Choice: BTFP vs DW |
= 1 if chose BTFP (among borrowers) |
Independent Variables
borrowing_subsidy |
Valuation benefit from par pricing |
(MTM loss on OMO-eligible / OMO-eligible) × 100 |
pct_uninsured |
Uninsured deposit share |
(Uninsured deposits / Total deposits) × 100 |
pct_wholesale_liability |
Wholesale funding share |
(Fed funds purchase + Repo + Other borrowed < 1 year) / Total
liability × 100 |
pct_runable_liability |
Run-prone liability share |
(Uninsured + Fed funds + Repo + Other borrowed) / Total liability ×
100 |
pct_liquidity_available |
Available liquid assets |
(Cash + Reverse repo + Fed funds sold) / Total assets × 100 |
pct_mtm_loss |
MTM loss ratio |
(MTM total loss / Total assets) × 100 |
run_risk_1 |
Liquidity run risk |
% Uninsured × % MTM loss / 100 |
run_risk_2 |
Total run risk |
% Run-able liability × % MTM loss / 100 |
run_risk_dummy_1 |
High liquidity run risk indicator |
= 1 if both % Uninsured > median AND % MTM loss > median; 0
otherwise |
run_risk_dummy_2 |
High total run risk indicator |
= 1 if both % Run-able liability > median AND % MTM loss >
median; 0 otherwise |
idcr_1 |
Coverage ratio (s=0.5) |
(MV assets - s×Uninsured - Insured) / Insured |
idcr_2 |
Coverage ratio (s=1.0) |
(MV assets - s×Uninsured - Insured) / Insured |
insolvency_1 |
Equity-based coverage (s=0.5) |
(Total assets - Total Liability - s×Uninsured×(Total assets/MV
Asset) -1)) / Total assets |
insolvency_2 |
Equity-based coverage (s=0.5) |
(Total assets - Total Liability - s×Uninsured×(Total assets/MV
Asset) -1)) / Total assets |
Control Variables
cash_to_asset |
Cash / Total assets × 100 |
fhlb_to_asset |
FHLB advances / Total assets × 100 |
book_equity_to_asset |
Book equity / Total assets × 100 |
log_assets |
Log(Total assets) |
Sample Definitions
| Baseline |
Banks with OMO-eligible assets (excluding failed banks and
G-SIBs) |
4251 |
| Small Banks |
Baseline sample, total assets ≤ 1.384 Billion |
3537 |
| Large Banks |
Baseline sample, total assets > 1.384 Billion (non-Gsib) |
714 |
| No DW |
Baseline sample, excluding DW borrowers |
3866 |
| Choice |
Banks that borrowed from either BTFP or DW |
748 |
