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22대 대한민국 국회 국회정보길라잡이 국회의원검색
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Title page 1

Contents 1

Abstract 2

1. Introduction 3

2. Data and Empirical Strategy 9

2.1. Datasets 9

2.2. Institutional Context 10

2.3. Descriptive statistics 11

2.4. Empirical methodology 14

3. NBFI deposits and QE-induced fragility 17

4. Liquidity risk management: Deposit liabilities 22

5. Liquidity risk management: Lending effects 24

5.1. General lending effects 26

5.2. Credit lines and Liquidity Insurance 29

6. Aggregate Lending and Real Effects 34

7. Conclusions 36

References 37

Appendix 40

A. Theory 41

B. Data 46

C. Additional tables 51

Tables 13

Table 1. Descriptive statistics: Aggregate volumes 13

Table 2. Identifying exposed banks: Balancing test 16

Table 3. NBFI uninsured deposits 18

Table 4. Other deposit categories 24

Table 5. Deposit rates 25

Table 6. Credit lines, Term loans, and Total Loan Commitments 28

Table 7. Utilized & Undrawn Credit Lines 30

Table 8. Aggregate effects at firm level 36

Figures 12

Figure 1. Security holdings and NBFI deposits 12

Figure 2. Total uninsured deposits from NBFIs 14

Figure 3. Security holdings and NBFI deposits 21

Figure 4. Model Simulation. Runnable deposits & Credit-line commitments 34

Appendix Tables 51

Table OA1. Variable definitions and sources 51

Table OA2. List of banks in FR 2052a and FR Y-14 samples 53

Table OA3. NBFI uninsured deposits: Supervised and non-supervised NBFIs 54

Table OA4. Demandable NBFI uninsured deposits 55

Table OA5. Fiscal transfers during Covid-19 56

Table OA6. Other deposit categories & Liquidity Coverage Ratios 57

Table OA7. Net Charge-Offs categories and NBFI Exposure: Pre-QE period 57

Table OA8. Credit lines, Term loans, and Total Loan Commitments 58

Table OA9. Utilized & Undrawn Credit Lines, and Total On-balance sheet Loan Commitments 59

Table OA10. Credit lines: Interest rates & new issuance 60

Table OA11. Undrawn credit lines for liquidity constrained firms 61

Table OA12. Aggregate effects at firm level: Alternative exposure measures 62

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