Seminar Series

2024 - 2025

Speaker: Sotirios Kokas (Essex BS).

Title: “QE-QT, Bank Liquidity Management, and Non-Bank Funding:  Evidence from Administrative Data ”.

joint with M. Darst, A. Vardoulakis ( both Federal Reserve Board), A. Kontonikas (U of Essex) and J-L Peydro (Imperial College London) 

Date: Thursday, 14 November at 12h30 (Paris Time).

Abstract: :   This paper investigates how funding fragility impacts deposit and credit outcomes, with a focus on broader financial stability implications. We use administrative data from the U.S., including deposit accounts and credit registers, matched to bank and firm balance sheets, to analyze both quantitative easing (QE) and quantitative tightening (QT) episodes. Specifically, we identify exposed banks relying on uninsured deposits from non-bank financial institutions (NBFIs) prior to the onset of the pandemic-related QE. Our findings show that during the pandemic-related QE, these "exposed" banks experienced a redistribution of deposits. Specifically, there was a notable rise in uninsured deposits from NBFIs, predominantly from supervised entities like money market funds and insurance companies, while uninsured deposits from non-NBFI sources declined. Concurrently, these banks increased their sensitivity to insured deposits, reflected in higher rates offered to attract insured funds while reducing rates for uninsured deposits.

On the credit side, banks more reliant on non-bank funding offered less liquidity insurance by reducing undrawn credit lines and issuing fewer new lines, while increasing term loans. The impact was more pronounced for firms affected by the COVID-19 pandemic. Importantly, no significant differences were observed in the pricing of new credit, indicating comprehensive liquidity risk management by banks to stabilize funding conditions during uncertain periods. These findings have significant policy implications for understanding how banks manage liquidity risk on both the asset and liability sides in response to monetary policy shifts. 

Here is a link to the speaker’s and the FEELab website:

https://sites.google.com/site/sotirioskokas/home 

https://sites.google.com/view/feelabtbs/

You are cordially invited to participate in the following seminar of the FEELab, which will take place in Room 238, Lascrosses building.

For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr