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 17 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 %
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
|
|
insolvency_1
|
4251
|
0.351
|
0.623
|
-0.254
|
0.148
|
0.247
|
0.388
|
6.907
|
|
insolvency_2
|
4251
|
0.105
|
0.347
|
-0.599
|
-0.013
|
0.068
|
0.160
|
3.401
|
|
insolvency_3
|
4251
|
0.424
|
1.176
|
-4.023
|
-0.104
|
0.508
|
1.028
|
4.067
|
|
log_assets
|
4251
|
12.905
|
1.464
|
8.320
|
11.925
|
12.735
|
13.659
|
20.187
|
|
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
|
0.959
|
2.250
|
0.000
|
0.000
|
0.000
|
0.669
|
13.137
|
|
run_risk_1
|
4251
|
146.056
|
83.500
|
2.779
|
83.550
|
133.157
|
194.236
|
406.285
|
|
run_risk_2
|
4251
|
143.835
|
81.138
|
2.471
|
83.578
|
131.008
|
191.267
|
390.207
|
Table 2: Summary Statistics by BTFP Usage
|
btfp_user
|
N
|
% Uninsured
|
% Wholesale Liab
|
% MTM Loss
|
Borrowing Subsidy
|
Run Risk 1
|
Insolvency 1
|
FHLB/Assets
|
Log Assets
|
|
Non-User
|
3798
|
27.151
|
0.897
|
5.413
|
0.069
|
140.979
|
0.348
|
2.476
|
12.804
|
|
BTFP User
|
453
|
32.073
|
1.477
|
6.112
|
0.081
|
188.622
|
0.376
|
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: s = 0.5 (50% Uninsured Run)
|
|
s = 0.5 (50% Run)
|
Solvent
|
4072
|
95.789
|
10.732
|
8.890
|
17.485
|
0.372
|
0.254
|
0.071
|
147.946
|
|
s = 0.5 (50% Run)
|
Insolvent
|
179
|
4.211
|
8.939
|
12.849
|
20.112
|
-0.117
|
-0.081
|
0.059
|
103.049
|
|
Insolvency 2: s = 1.0 (100% Uninsured Run)
|
|
s = 1.0 (100% Run)
|
Solvent
|
3041
|
71.536
|
10.720
|
8.747
|
17.264
|
0.194
|
0.115
|
0.070
|
139.453
|
|
s = 1.0 (100% Run)
|
Insolvent
|
1210
|
28.464
|
10.496
|
9.835
|
18.430
|
-0.121
|
-0.069
|
0.070
|
162.649
|
|
Insolvency 3: Equity-Based Coverage
|
|
Equity-Based
|
Solvent
|
3041
|
71.536
|
10.720
|
8.747
|
17.264
|
0.956
|
0.795
|
0.070
|
139.453
|
|
Equity-Based
|
Insolvent
|
1210
|
28.464
|
10.496
|
9.835
|
18.430
|
-0.914
|
-0.588
|
0.070
|
162.649
|
#> ✓ 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 (s=0.5)
|
179
|
4.21
|
8.94
|
10.73
|
-1.79
|
|
Insolvency 2 (s=1.0)
|
1210
|
28.46
|
10.50
|
10.72
|
-0.22
|
|
Insolvency 3 (Equity)
|
1210
|
28.46
|
10.50
|
10.72
|
-0.22
|
#> ✓ Detailed insolvency comparison table created
Table 3c: Descriptive Statistics - Insolvency Measures
|
Statistic
|
Insolvency 1 (s=0.5)
|
Insolvency 2 (s=1.0)
|
Insolvency 3 (Equity)
|
|
Mean
|
0.3512
|
0.1046
|
0.4238
|
|
SD
|
0.6229
|
0.3468
|
1.1760
|
|
Median
|
0.2466
|
0.0684
|
0.5077
|
|
P25
|
0.1476
|
-0.0125
|
-0.1044
|
|
P75
|
0.3880
|
0.1599
|
1.0277
|
|
Min
|
-0.2542
|
-0.5986
|
-4.0232
|
|
Max
|
6.9071
|
3.4010
|
4.0674
|
#> ✓ Insolvency descriptive statistics table created
Alternative Size category
Table 3d: Insolvency Measures by Bank Size
|
size_category
|
N
|
% Insolvent (s=0.5)
|
% Insolvent (s=1.0)
|
% Insolvent (Equity)
|
Mean Insolvency 1
|
Mean Insolvency 2
|
Mean Insolvency 3
|
BTFP Usage Rate (%)
|
|
Small
|
1403
|
3.21
|
24.38
|
24.38
|
0.31
|
0.13
|
0.54
|
3.85
|
|
Medium
|
1445
|
4.36
|
31.07
|
31.07
|
0.29
|
0.07
|
0.34
|
10.52
|
|
Large
|
1403
|
5.06
|
29.86
|
29.86
|
0.46
|
0.11
|
0.40
|
17.61
|
#> ✓ Insolvency by size table created
Distribution Plots
#>
#> === CREATING DISTRIBUTION PLOTS ===
#> ✓ Distribution plots created and saved
Extensive Margin Models
Baseline Sample
#> ================================================================================
#> EXTENSIVE MARGIN MODELS: 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 -2.615*** -2.613*** -2.614***
#> (0.0792) (0.0790) (0.0789)
#> pct_uninsured_z 0.2473*** 0.0845 0.0554
#> (0.0628) (0.1613) (0.1547)
#> pct_wholesale_liability_z 0.1471*** 0.1462*** 0.1193**
#> (0.0447) (0.0446) (0.0487)
#> pct_mtm_loss_z 0.2283*** 0.0956 0.0634
#> (0.0643) (0.1363) (0.1372)
#> cash_to_asset_z 0.2352 0.2443 0.2441
#> (0.3617) (0.3648) (0.3646)
#> pct_liquidity_available_z -0.8325** -0.8307** -0.8272**
#> (0.3807) (0.3838) (0.3833)
#> borrowing_subsidy_z -0.1162* -0.1176** -0.1176**
#> (0.0594) (0.0595) (0.0595)
#> fhlb_to_asset_z 0.1728*** 0.1762*** 0.1993***
#> (0.0516) (0.0517) (0.0552)
#> book_equity_to_asset_z -0.4771*** -0.4678*** -0.4612***
#> (0.0884) (0.0894) (0.0903)
#> log_assets_z 0.4169*** 0.4185*** 0.4210***
#> (0.0615) (0.0614) (0.0615)
#> run_risk_1_z 0.1815
#> (0.1627)
#> run_risk_2_z 0.2235
#> (0.1619)
#> insolvency_1_z
#>
#> insolvency_2_z
#>
#> insolvency_3_z
#>
#> _________________________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251 4,251
#> Pseudo R2 0.11135 0.11179 0.11202
#> AIC 2,583.3 2,584.0 2,583.3
#>
#> model_B1.. model_B2..
#> B.1: Insol (s=0.5) B.2: Insol (s=1.0)
#> Dependent Var.: btfp_user btfp_user
#>
#> Constant -2.620*** -2.617***
#> (0.0803) (0.0794)
#> pct_uninsured_z 0.2789*** 0.2522***
#> (0.0728) (0.0632)
#> pct_wholesale_liability_z 0.1542*** 0.1538***
#> (0.0450) (0.0458)
#> pct_mtm_loss_z 0.2327*** 0.2322***
#> (0.0646) (0.0646)
#> cash_to_asset_z 0.2426 0.2376
#> (0.3626) (0.3619)
#> pct_liquidity_available_z -0.8290** -0.8276**
#> (0.3812) (0.3801)
#> borrowing_subsidy_z -0.1168** -0.1172**
#> (0.0594) (0.0595)
#> fhlb_to_asset_z 0.1778*** 0.1785***
#> (0.0520) (0.0529)
#> book_equity_to_asset_z -0.4655*** -0.4652***
#> (0.0906) (0.0926)
#> log_assets_z 0.4156*** 0.4163***
#> (0.0618) (0.0616)
#> run_risk_1_z
#>
#> run_risk_2_z
#>
#> insolvency_1_z -0.0835
#> (0.1014)
#> insolvency_2_z -0.0470
#> (0.0861)
#> insolvency_3_z
#>
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251
#> Pseudo R2 0.11161 0.11146
#> AIC 2,584.5 2,585.0
#>
#> model_B3..
#> B.3: Insol (Equity)
#> Dependent Var.: btfp_user
#>
#> Constant -2.615***
#> (0.0792)
#> pct_uninsured_z 0.2473***
#> (0.0633)
#> pct_wholesale_liability_z 0.1471***
#> (0.0476)
#> pct_mtm_loss_z 0.2283***
#> (0.0645)
#> cash_to_asset_z 0.2352
#> (0.3620)
#> pct_liquidity_available_z -0.8325**
#> (0.3807)
#> borrowing_subsidy_z -0.1162*
#> (0.0594)
#> fhlb_to_asset_z 0.1728***
#> (0.0532)
#> book_equity_to_asset_z -0.4771***
#> (0.0903)
#> log_assets_z 0.4169***
#> (0.0616)
#> run_risk_1_z
#>
#> run_risk_2_z
#>
#> insolvency_1_z
#>
#> insolvency_2_z
#>
#> insolvency_3_z -6.74e-5
#> (0.0540)
#> _________________________ __________
#> S.E. type Hete.-rob.
#> Observations 4,251
#> Pseudo R2 0.11135
#> AIC 2,585.3
#> ---
#> 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_B1.. model_B2..
#> Small: A.1 Small: A.2 Small: B.1 Small: B.2
#> Dependent Var.: btfp_user btfp_user btfp_user btfp_user
#>
#> Constant -2.577*** -2.575*** -2.588*** -2.580***
#> (0.0847) (0.0846) (0.0853) (0.0846)
#> pct_uninsured_z 0.2701*** 0.1800 0.3162*** 0.2765***
#> (0.0810) (0.2300) (0.0940) (0.0836)
#> pct_wholesale_liability_z 0.1473*** 0.1474*** 0.1569*** 0.1531***
#> (0.0518) (0.0519) (0.0527) (0.0529)
#> pct_mtm_loss_z 0.2343*** 0.1690 0.2403*** 0.2374***
#> (0.0768) (0.1696) (0.0772) (0.0772)
#> cash_to_asset_z 0.1771 0.1789 0.1846 0.1791
#> (0.3713) (0.3736) (0.3749) (0.3728)
#> pct_liquidity_available_z -0.7658** -0.7612* -0.7666* -0.7645*
#> (0.3888) (0.3914) (0.3925) (0.3901)
#> borrowing_subsidy_z -0.0927 -0.0940 -0.0947 -0.0937
#> (0.0686) (0.0687) (0.0685) (0.0685)
#> fhlb_to_asset_z 0.1723*** 0.1742*** 0.1804*** 0.1778***
#> (0.0620) (0.0620) (0.0621) (0.0621)
#> book_equity_to_asset_z -0.4646*** -0.4571*** -0.4431*** -0.4516***
#> (0.1026) (0.1041) (0.1078) (0.1086)
#> log_assets_z 0.6484*** 0.6501*** 0.6394*** 0.6443***
#> (0.1273) (0.1274) (0.1283) (0.1280)
#> run_risk_1_z 0.0954
#> (0.2239)
#> insolvency_1_z -0.1298
#> (0.1028)
#> insolvency_2_z -0.0494
#> (0.0858)
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 3,537 3,537 3,537 3,537
#> Pseudo R2 0.10299 0.10308 0.10339 0.10309
#> AIC 1,892.3 1,894.1 1,893.5 1,894.1
#>
#> model_A1...1 model_A.. model_B.. model_B...1
#> Large: A.1 Large: A.2 Large: B.1 Large: B.2
#> Dependent Var.: btfp_user btfp_user btfp_user btfp_user
#>
#> Constant -2.380*** -2.377*** -2.380*** -2.381***
#> (0.3385) (0.3366) (0.3454) (0.3426)
#> pct_uninsured_z 0.1707* -0.1006 0.1735 0.1731*
#> (0.1008) (0.2546) (0.1133) (0.0988)
#> pct_wholesale_liability_z 0.1417* 0.1355 0.1425* 0.1468
#> (0.0861) (0.0843) (0.0863) (0.0926)
#> pct_mtm_loss_z 0.1784 -0.1027 0.1789 0.1818
#> (0.1169) (0.2787) (0.1165) (0.1172)
#> cash_to_asset_z 0.0899 0.0765 0.0901 0.0849
#> (1.303) (1.312) (1.307) (1.293)
#> pct_liquidity_available_z -0.5829 -0.5397 -0.5806 -0.5689
#> (1.452) (1.467) (1.430) (1.420)
#> borrowing_subsidy_z -0.1380 -0.1414 -0.1380 -0.1387
#> (0.1135) (0.1132) (0.1135) (0.1139)
#> fhlb_to_asset_z 0.1815* 0.1885** 0.1819* 0.1849*
#> (0.0942) (0.0944) (0.0949) (0.1005)
#> book_equity_to_asset_z -0.4882** -0.4983** -0.4878** -0.4818**
#> (0.1940) (0.1952) (0.1939) (0.2005)
#> log_assets_z 0.3267*** 0.3228** 0.3271** 0.3282**
#> (0.1268) (0.1266) (0.1283) (0.1285)
#> run_risk_1_z 0.3304
#> (0.2851)
#> insolvency_1_z -0.0066
#> (0.1495)
#> insolvency_2_z -0.0232
#> (0.1629)
#> _________________________ __________ _________ _________ _________
#> S.E. type Hete.-rob. Het.-rob. Het.-rob. Het.-rob.
#> Observations 714 714 714 714
#> Pseudo R2 0.05437 0.05637 0.05437 0.05441
#> AIC 704.03 704.58 706.03 706.00
#> ---
#> 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 -2.702*** -2.701*** -2.701*** -2.729***
#> (0.0875) (0.0874) (0.0873) (0.0877)
#> pct_uninsured_z 0.2204*** 0.1164 0.0640 0.3279***
#> (0.0697) (0.1815) (0.1743) (0.0801)
#> pct_wholesale_liability_z 0.1584*** 0.1577*** 0.1360** 0.1849***
#> (0.0506) (0.0506) (0.0545) (0.0524)
#> pct_mtm_loss_z 0.2474*** 0.1658 0.1184 0.2620***
#> (0.0702) (0.1463) (0.1467) (0.0709)
#> cash_to_asset_z 0.1036 0.1091 0.1132 0.1352
#> (0.3899) (0.3926) (0.3941) (0.3932)
#> pct_liquidity_available_z -0.7610* -0.7601* -0.7598* -0.7631*
#> (0.4053) (0.4080) (0.4091) (0.4095)
#> borrowing_subsidy_z -0.0949 -0.0961 -0.0969 -0.0957
#> (0.0653) (0.0653) (0.0654) (0.0652)
#> fhlb_to_asset_z 0.1794*** 0.1811*** 0.2004*** 0.1997***
#> (0.0560) (0.0561) (0.0602) (0.0574)
#> book_equity_to_asset_z -0.4607*** -0.4542*** -0.4468*** -0.4172***
#> (0.0973) (0.0985) (0.0998) (0.1030)
#> log_assets_z 0.3763*** 0.3777*** 0.3800*** 0.3730***
#> (0.0671) (0.0671) (0.0674) (0.0679)
#> run_risk_1_z 0.1157
#> (0.1798)
#> run_risk_2_z 0.1815
#> (0.1790)
#> insolvency_1_z -0.3160***
#> (0.1209)
#> insolvency_2_z
#>
#> insolvency_3_z
#>
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 3,866 3,866 3,866 3,866
#> Pseudo R2 0.10477 0.10495 0.10521 0.10693
#> AIC 2,175.9 2,177.5 2,176.8 2,172.7
#>
#> model_B2.. model_B3..
#> B.2 B.3
#> Dependent Var.: btfp_user btfp_user
#>
#> Constant -2.715*** -2.702***
#> (0.0868) (0.0874)
#> pct_uninsured_z 0.2366*** 0.2188***
#> (0.0707) (0.0703)
#> pct_wholesale_liability_z 0.1837*** 0.1658***
#> (0.0529) (0.0541)
#> pct_mtm_loss_z 0.2603*** 0.2491***
#> (0.0705) (0.0701)
#> cash_to_asset_z 0.1169 0.1074
#> (0.3915) (0.3901)
#> pct_liquidity_available_z -0.7538* -0.7609*
#> (0.4072) (0.4052)
#> borrowing_subsidy_z -0.0970 -0.0943
#> (0.0652) (0.0652)
#> fhlb_to_asset_z 0.2016*** 0.1851***
#> (0.0584) (0.0587)
#> book_equity_to_asset_z -0.4162*** -0.4544***
#> (0.1040) (0.0998)
#> log_assets_z 0.3743*** 0.3770***
#> (0.0675) (0.0671)
#> run_risk_1_z
#>
#> run_risk_2_z
#>
#> insolvency_1_z
#>
#> insolvency_2_z -0.1787*
#> (0.0964)
#> insolvency_3_z -0.0255
#> (0.0605)
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 3,866 3,866
#> Pseudo R2 0.10599 0.10485
#> AIC 2,175.0 2,177.7
#> ---
#> 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_B1_..
#> A.1 A.2 A.3 B.1
#> Dependent Var.: choice_btfp choice_btfp choice_btfp choice_btfp
#>
#> Constant 0.0390 0.0345 0.0372 0.0952
#> (0.1097) (0.1115) (0.1110) (0.1154)
#> pct_uninsured_z 0.1056 0.2830 0.3134 -0.0283
#> (0.1032) (0.2919) (0.2844) (0.1380)
#> pct_wholesale_liability_z 0.0216 0.0232 0.0532 -0.0116
#> (0.0667) (0.0672) (0.0736) (0.0713)
#> pct_mtm_loss_z 0.1231 0.2704 0.3049 0.1014
#> (0.1105) (0.2425) (0.2441) (0.1111)
#> cash_to_asset_z 0.1571 0.1463 0.1581 0.2039
#> (0.3624) (0.3640) (0.3639) (0.3731)
#> pct_liquidity_available_z -0.6708* -0.6767* -0.6905* -0.7546**
#> (0.3603) (0.3600) (0.3631) (0.3730)
#> borrowing_subsidy_z -0.2170** -0.2158** -0.2181** -0.2126**
#> (0.0942) (0.0944) (0.0944) (0.0946)
#> fhlb_to_asset_z 0.1634* 0.1604* 0.1371 0.1397
#> (0.0915) (0.0928) (0.0996) (0.0953)
#> book_equity_to_asset_z -0.3446*** -0.3579*** -0.3626*** -0.3990***
#> (0.1320) (0.1364) (0.1370) (0.1388)
#> log_assets_z -0.2926*** -0.2957*** -0.2984*** -0.2940***
#> (0.1111) (0.1125) (0.1129) (0.1114)
#> run_risk_1_z -0.1985
#> (0.2852)
#> run_risk_2_z -0.2411
#> (0.2847)
#> insolvency_1_z 0.4945
#> (0.3300)
#> insolvency_2_z
#>
#> insolvency_3_z
#>
#> _________________________ ___________ ___________ ___________ ___________
#> S.E. type Heter.-rob. Heter.-rob. Heter.-rob. Heter.-rob.
#> Observations 658 658 658 658
#> Pseudo R2 0.04937 0.04999 0.05030 0.05200
#> AIC 880.46 881.89 881.61 880.08
#>
#> model_B2_.. model_B3_..
#> B.2 B.3
#> Dependent Var.: choice_btfp choice_btfp
#>
#> Constant 0.0568 0.0483
#> (0.1113) (0.1107)
#> pct_uninsured_z 0.0996 0.1053
#> (0.1047) (0.1048)
#> pct_wholesale_liability_z 0.0030 -0.0011
#> (0.0724) (0.0713)
#> pct_mtm_loss_z 0.1126 0.1120
#> (0.1109) (0.1106)
#> cash_to_asset_z 0.1918 0.1750
#> (0.3662) (0.3687)
#> pct_liquidity_available_z -0.7113* -0.6931*
#> (0.3654) (0.3658)
#> borrowing_subsidy_z -0.2142** -0.2111**
#> (0.0944) (0.0944)
#> fhlb_to_asset_z 0.1526 0.1536
#> (0.0947) (0.0940)
#> book_equity_to_asset_z -0.3737*** -0.3576***
#> (0.1392) (0.1323)
#> log_assets_z -0.2934*** -0.2968***
#> (0.1114) (0.1122)
#> run_risk_1_z
#>
#> run_risk_2_z
#>
#> insolvency_1_z
#>
#> insolvency_2_z 0.1447
#> (0.1953)
#> insolvency_3_z 0.0890
#> (0.0888)
#> _________________________ ___________ ___________
#> S.E. type Heter.-rob. Heter.-rob.
#> Observations 658 658
#> Pseudo R2 0.05004 0.05059
#> AIC 881.85 881.35
#> ---
#> 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 intensiv...2
#> A.1: Basic A.2: Run Risk 1 A.3: Run Risk 2
#> Dependent Var.: btfp_amt_z btfp_amt_z btfp_amt_z
#>
#> Constant 2.815*** 2.816*** 2.812***
#> (0.0731) (0.0741) (0.0740)
#> pct_uninsured_z -0.0144 -0.2325 -0.2416
#> (0.0582) (0.1942) (0.1838)
#> pct_wholesale_liability_z 0.0981*** 0.0939*** 0.0631*
#> (0.0245) (0.0241) (0.0332)
#> pct_mtm_loss_z 0.0785 -0.0977 -0.1142
#> (0.0514) (0.1316) (0.1302)
#> cash_to_asset_z -0.2126 -0.2051 -0.2182
#> (0.1945) (0.1920) (0.1871)
#> pct_liquidity_available_z -0.0079 -0.0024 0.0091
#> (0.1516) (0.1482) (0.1435)
#> borrowing_subsidy_z -0.0372 -0.0348 -0.0339
#> (0.0432) (0.0428) (0.0425)
#> fhlb_to_asset_z 0.1308*** 0.1361*** 0.1618***
#> (0.0350) (0.0342) (0.0399)
#> book_equity_to_asset_z -0.0812 -0.0693 -0.0658
#> (0.0682) (0.0689) (0.0689)
#> log_assets_z -0.2504*** -0.2501*** -0.2472***
#> (0.0622) (0.0615) (0.0615)
#> run_risk_1_z 0.2417
#> (0.1827)
#> run_risk_2_z 0.2617
#> (0.1784)
#> insolvency_1_z
#>
#> insolvency_2_z
#>
#> insolvency_3_z
#>
#> _________________________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 453 453 453
#> R2 0.16415 0.17119 0.17248
#> Adj. R2 0.14717 0.15244 0.15375
#> AIC 1,104.4 1,102.6 1,101.9
#>
#> intensiv...3 intensiv...4
#> B.1: Insol (s=0.5) B.2: Insol (s=1.0)
#> Dependent Var.: btfp_amt_z btfp_amt_z
#>
#> Constant 2.825*** 2.824***
#> (0.0702) (0.0707)
#> pct_uninsured_z -0.1105* -0.0330
#> (0.0635) (0.0587)
#> pct_wholesale_liability_z 0.0732*** 0.0755***
#> (0.0254) (0.0289)
#> pct_mtm_loss_z 0.0697 0.0706
#> (0.0505) (0.0505)
#> cash_to_asset_z -0.1834 -0.1614
#> (0.1958) (0.1896)
#> pct_liquidity_available_z -0.1028 -0.0877
#> (0.1348) (0.1363)
#> borrowing_subsidy_z -0.0493 -0.0412
#> (0.0425) (0.0427)
#> fhlb_to_asset_z 0.1119*** 0.1151***
#> (0.0388) (0.0411)
#> book_equity_to_asset_z -0.1048 -0.1037
#> (0.0674) (0.0688)
#> log_assets_z -0.2464*** -0.2467***
#> (0.0624) (0.0633)
#> run_risk_1_z
#>
#> run_risk_2_z
#>
#> insolvency_1_z 0.2610***
#> (0.0735)
#> insolvency_2_z 0.1511*
#> (0.0916)
#> insolvency_3_z
#>
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 453 453
#> R2 0.18163 0.17334
#> Adj. R2 0.16312 0.15463
#> AIC 1,096.8 1,101.4
#>
#> intensiv...5
#> B.3: Insol (Equity)
#> Dependent Var.: btfp_amt_z
#>
#> Constant 2.814***
#> (0.0725)
#> pct_uninsured_z -0.0132
#> (0.0579)
#> pct_wholesale_liability_z 0.1015***
#> (0.0279)
#> pct_mtm_loss_z 0.0788
#> (0.0513)
#> cash_to_asset_z -0.2158
#> (0.1914)
#> pct_liquidity_available_z -0.0045
#> (0.1510)
#> borrowing_subsidy_z -0.0370
#> (0.0432)
#> fhlb_to_asset_z 0.1331***
#> (0.0383)
#> book_equity_to_asset_z -0.0804
#> (0.0683)
#> log_assets_z -0.2510***
#> (0.0619)
#> run_risk_1_z
#>
#> run_risk_2_z
#>
#> insolvency_1_z
#>
#> insolvency_2_z
#>
#> insolvency_3_z -0.0124
#> (0.0464)
#> _________________________ __________
#> S.E. type Hete.-rob.
#> Observations 453
#> R2 0.16434
#> Adj. R2 0.14543
#> AIC 1,106.3
#> ---
#> 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.2
#> Dependent Var.: btfp_amt_z btfp_amt_z btfp_amt_z btfp_amt_z
#>
#> Constant 2.849*** 2.851*** 2.876*** 2.873***
#> (0.0767) (0.0749) (0.0764) (0.0738)
#> pct_uninsured_z -0.0060 -0.0468 -0.0775 -0.0144
#> (0.0614) (0.2444) (0.0809) (0.0623)
#> pct_wholesale_liability_z 0.0375* 0.0375* 0.0205 0.0129
#> (0.0212) (0.0212) (0.0229) (0.0226)
#> pct_mtm_loss_z 0.0114 -0.0185 0.0091 0.0077
#> (0.0487) (0.1414) (0.0486) (0.0479)
#> cash_to_asset_z -0.2399 -0.2355 -0.2316 -0.2023
#> (0.1773) (0.1822) (0.1714) (0.1723)
#> pct_liquidity_available_z -0.0131 -0.0117 -0.0403 -0.0551
#> (0.1314) (0.1292) (0.1202) (0.1221)
#> borrowing_subsidy_z -0.0244 -0.0248 -0.0214 -0.0185
#> (0.0412) (0.0420) (0.0421) (0.0412)
#> fhlb_to_asset_z 0.0993*** 0.1006*** 0.0740** 0.0679**
#> (0.0267) (0.0280) (0.0299) (0.0306)
#> book_equity_to_asset_z -0.0526 -0.0491 -0.0732 -0.0785
#> (0.0704) (0.0669) (0.0707) (0.0713)
#> log_assets_z -0.0443 -0.0424 -0.0336 -0.0275
#> (0.0905) (0.0906) (0.0901) (0.0878)
#> run_risk_1_z 0.0424
#> (0.2242)
#> insolvency_1_z 0.2623*
#> (0.1529)
#> insolvency_2_z 0.1930*
#> (0.1027)
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 307 307 307 307
#> R2 0.08766 0.08800 0.09637 0.10182
#> Adj. R2 0.06001 0.05719 0.06584 0.07147
#>
#> intensiv...4 intensiv...5 intensiv...6 intensiv...7
#> Large: A.1 Large: A.2 Large: B.1 Large: B.2
#> Dependent Var.: btfp_amt_z btfp_amt_z btfp_amt_z btfp_amt_z
#>
#> Constant 3.222*** 3.191*** 2.932*** 3.124***
#> (0.2540) (0.2650) (0.3361) (0.3037)
#> pct_uninsured_z -0.0608 -0.4445 -0.2173* -0.0861
#> (0.0968) (0.3479) (0.1232) (0.0986)
#> pct_wholesale_liability_z 0.2168*** 0.1900*** 0.1796*** 0.1990***
#> (0.0577) (0.0575) (0.0680) (0.0709)
#> pct_mtm_loss_z 0.1451 -0.2142 0.1207 0.1297
#> (0.1402) (0.3127) (0.1385) (0.1390)
#> cash_to_asset_z -1.512 -1.578 0.4672 -0.7097
#> (2.014) (2.054) (2.221) (2.351)
#> pct_liquidity_available_z 1.515 1.566 -0.7622 0.6134
#> (1.986) (2.055) (2.310) (2.425)
#> borrowing_subsidy_z -0.0015 0.0239 -0.0378 -0.0099
#> (0.1286) (0.1297) (0.1306) (0.1304)
#> fhlb_to_asset_z 0.2090** 0.2151*** 0.1875** 0.2050**
#> (0.0825) (0.0796) (0.0904) (0.0871)
#> book_equity_to_asset_z -0.1640 -0.1819 -0.1769 -0.1765
#> (0.1584) (0.1674) (0.1510) (0.1563)
#> log_assets_z -0.4024*** -0.4069*** -0.3486*** -0.3893***
#> (0.1275) (0.1265) (0.1291) (0.1263)
#> run_risk_1_z 0.4480
#> (0.3530)
#> insolvency_1_z 0.3329*
#> (0.1745)
#> insolvency_2_z 0.1245
#> (0.1713)
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 146 146 146 146
#> R2 0.22103 0.23542 0.24016 0.22501
#> Adj. R2 0.16948 0.17878 0.18388 0.16760
#> ---
#> 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.1 No DW: B.2
#> Dependent Var.: btfp_amt_z btfp_amt_z btfp_amt_z btfp_amt_z
#>
#> Constant 2.955*** 2.955*** 2.954*** 2.956***
#> (0.0666) (0.0691) (0.0662) (0.0639)
#> pct_uninsured_z -0.0727 -0.3195 -0.0710 -0.0736
#> (0.0614) (0.2046) (0.0754) (0.0628)
#> pct_wholesale_liability_z 0.0618** 0.0574* 0.0622* 0.0607*
#> (0.0236) (0.0236) (0.0256) (0.0261)
#> pct_mtm_loss_z 0.0855 -0.1093 0.0856 0.0852
#> (0.0452) (0.1356) (0.0447) (0.0445)
#> cash_to_asset_z 0.0652 0.0745 0.0646 0.0685
#> (0.1641) (0.1649) (0.1613) (0.1619)
#> pct_liquidity_available_z -0.0824 -0.0788 -0.0815 -0.0852
#> (0.1443) (0.1420) (0.1418) (0.1460)
#> borrowing_subsidy_z -0.1164** -0.1170** -0.1164** -0.1164**
#> (0.0421) (0.0417) (0.0421) (0.0422)
#> fhlb_to_asset_z 0.1081*** 0.1127*** 0.1084** 0.1073**
#> (0.0319) (0.0309) (0.0337) (0.0338)
#> book_equity_to_asset_z -0.1126 -0.0990 -0.1122 -0.1138
#> (0.0725) (0.0750) (0.0742) (0.0744)
#> log_assets_z -0.2040** -0.2040*** -0.2041** -0.2039**
#> (0.0621) (0.0611) (0.0622) (0.0624)
#> run_risk_1_z 0.2782
#> (0.1863)
#> insolvency_1_z -0.0058
#> (0.1601)
#> insolvency_2_z 0.0093
#> (0.1031)
#> _________________________ __________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 363 363 363 363
#> R2 0.17823 0.19270 0.17824 0.17826
#> Adj. R2 0.15728 0.16977 0.15489 0.15492
#>
#> intensiv...4 intensiv...5 intensiv...6
#> Choice: A.1 Choice: B.1 Choice: B.2
#> Dependent Var.: btfp_amt_z btfp_amt_z btfp_amt_z
#>
#> Constant 2.815*** 2.825*** 2.824***
#> (0.0731) (0.0702) (0.0707)
#> pct_uninsured_z -0.0144 -0.1105 -0.0330
#> (0.0582) (0.0635) (0.0587)
#> pct_wholesale_liability_z 0.0981*** 0.0732** 0.0755**
#> (0.0245) (0.0254) (0.0289)
#> pct_mtm_loss_z 0.0785 0.0697 0.0706
#> (0.0514) (0.0505) (0.0505)
#> cash_to_asset_z -0.2126 -0.1834 -0.1614
#> (0.1945) (0.1958) (0.1896)
#> pct_liquidity_available_z -0.0079 -0.1028 -0.0877
#> (0.1516) (0.1348) (0.1363)
#> borrowing_subsidy_z -0.0372 -0.0493 -0.0412
#> (0.0432) (0.0425) (0.0427)
#> fhlb_to_asset_z 0.1308*** 0.1119** 0.1151**
#> (0.0350) (0.0388) (0.0411)
#> book_equity_to_asset_z -0.0812 -0.1048 -0.1037
#> (0.0682) (0.0674) (0.0688)
#> log_assets_z -0.2504*** -0.2464*** -0.2467***
#> (0.0622) (0.0624) (0.0633)
#> run_risk_1_z
#>
#> insolvency_1_z 0.2610***
#> (0.0735)
#> insolvency_2_z 0.1511
#> (0.0916)
#> _________________________ __________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob. Hete.-rob.
#> Observations 453 453 453
#> R2 0.16415 0.18163 0.17334
#> Adj. R2 0.14717 0.16312 0.15463
#> ---
#> 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***
#> (0.0760) (0.0753)
#> pct_uninsured_z 0.2646*** 0.2372***
#> (0.0720) (0.0629)
#> pct_wholesale_liability_z 0.1558*** 0.1559***
#> (0.0439) (0.0449)
#> pct_mtm_loss_z 0.2546*** 0.2544***
#> (0.0639) (0.0640)
#> borrowing_subsidy_z -0.1193** -0.1199**
#> (0.0592) (0.0592)
#> insolvency_1_z -0.0878
#> (0.1000)
#> cash_to_asset_z -0.5056*** -0.5089***
#> (0.1189) (0.1198)
#> fhlb_to_asset_z 0.1922*** 0.1933***
#> (0.0506) (0.0515)
#> book_equity_to_asset_z -0.4725*** -0.4710***
#> (0.0908) (0.0930)
#> log_assets_z 0.4542*** 0.4547***
#> (0.0598) (0.0597)
#> insolvency_2_z -0.0543
#> (0.0853)
#> insolvency_3_z
#>
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251
#> Pseudo R2 0.10864 0.10850
#> AIC 2,591.1 2,591.5
#>
#> robust_..3
#> Insolvency 3 (Equity)
#> Dependent Var.: btfp_user
#>
#> Constant -2.583***
#> (0.0752)
#> pct_uninsured_z 0.2313***
#> (0.0630)
#> pct_wholesale_liability_z 0.1480***
#> (0.0465)
#> pct_mtm_loss_z 0.2504***
#> (0.0638)
#> borrowing_subsidy_z -0.1188**
#> (0.0591)
#> insolvency_1_z
#>
#> cash_to_asset_z -0.5168***
#> (0.1206)
#> fhlb_to_asset_z 0.1871***
#> (0.0518)
#> book_equity_to_asset_z -0.4849***
#> (0.0906)
#> log_assets_z 0.4557***
#> (0.0597)
#> insolvency_2_z
#>
#> insolvency_3_z -0.0012
#> (0.0538)
#> _________________________ __________
#> S.E. type Hete.-rob.
#> Observations 4,251
#> Pseudo R2 0.10835
#> AIC 2,591.9
#> ---
#> 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 -2.589*** -2.566***
#> (0.0763) (0.0761)
#> pct_uninsured_z 0.2647*** 0.0229
#> (0.0723) (0.1639)
#> pct_wholesale_liability_z 0.1557*** 0.1495***
#> (0.0439) (0.0431)
#> pct_mtm_loss_z 0.2546*** 0.0719
#> (0.0640) (0.1395)
#> borrowing_subsidy_z -0.1194** -0.0787
#> (0.0593) (0.0622)
#> insolvency_1_z -0.0877
#> (0.0977)
#> interact_subsidy_insol -0.0019
#> (0.0761)
#> cash_to_asset_z -0.5056*** -0.5032***
#> (0.1190) (0.1204)
#> fhlb_to_asset_z 0.1921*** 0.1887***
#> (0.0506) (0.0506)
#> book_equity_to_asset_z -0.4726*** -0.4703***
#> (0.0909) (0.0897)
#> log_assets_z 0.4543*** 0.4580***
#> (0.0600) (0.0598)
#> run_risk_1_z 0.2516
#> (0.1676)
#> interact_subsidy_runrisk -0.0772
#> (0.0500)
#> _________________________ __________ __________
#> S.E. type Hete.-rob. Hete.-rob.
#> Observations 4,251 4,251
#> Pseudo R2 0.10864 0.10966
#> ---
#> 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
|
|
borrowing_subsidy_z
|
Borrowing Subsidy
|
-0.1176
|
0.0595
|
-1.9769
|
0.0481
|
**
|
|
run_risk_1_z
|
Run Risk 1
|
0.1815
|
0.1627
|
1.1161
|
0.2644
|
|
|
insolvency_1_z
|
Insolvency 1 (Model B.1)
|
-0.0835
|
0.1014
|
-0.8232
|
0.4104
|
|
|
pct_uninsured_z
|
% Uninsured
|
0.0845
|
0.1613
|
0.5236
|
0.6005
|
|
|
pct_mtm_loss_z
|
% MTM Loss
|
0.0957
|
0.1363
|
0.7016
|
0.4829
|
|
|
pct_wholesale_liability_z
|
% Wholesale Liability
|
0.1462
|
0.0446
|
3.2759
|
0.0011
|
***
|
|
Significance levels:
|
|
*** p<0.01, ** p<0.05, * p<0.10
|
#>
#> ✓ Key findings table created
Policy Implications
Facility Design: The par valuation feature of
BTFP created differential incentives that went beyond traditional
liquidity provision
Stigma Effects: [Interpret based on DW exclusion
and choice model results]
Systemic Risk: [Interpret based on insolvency
measure results]
Limitations
- Sample Selection: Limited to banks with
OMO-eligible assets
- Timing: Analysis based on 2022Q4 data (pre-crisis
characteristics)
- Unobserved Factors: Management quality, regulatory
relationships not captured
- Endogeneity: Potential reverse causality between
risk measures and facility usage
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) / 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 |
insolvency_1 |
Coverage ratio (s=0.5) |
(MV assets - 0.5×Uninsured - Insured) / Insured |
insolvency_2 |
Coverage ratio (s=1.0) |
(MV assets - Uninsured - Insured) / Insured |
insolvency_3 |
Equity-based coverage |
(MV assets - Uninsured - Insured) / Total equity |
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 |