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Capital requirements and shifts in commercial bank portfolios

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  • Joseph G. Haubrich
  • Paul Wachtel

Abstract

Since 1989, U.S. commercial banks have shifted their portfolios away from commercial loans toward government securities. Using data for individual banks, the authors document this shift and test for whether it can be attributed to the imposition of risk-based capital requirements. Their results indicate that these requirements may indeed account for part of the portfolio shift.

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File URL: http://www.clevelandfed.org/research/Review/1993/93-q3-haubrich.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of Cleveland in its journal Economic Review.

Volume (Year): (1993)
Issue (Month): Q III ()
Pages: 2-15

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Handle: RePEc:fip:fedcer:y:1993:i:qiii:p:2-15:n:v.29no.3

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Keywords: Bank capital ; Bank investments;

References

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  1. Eric M. Leeper & David B. Gordon, 1991. "In search of the liquidity effect," International Finance Discussion Papers 403, Board of Governors of the Federal Reserve System (U.S.).
  2. Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
  3. Marvin Goodfriend, 1986. "A weekly rational expectations model of the nonborrowed reserve operating procedure," Economic Review, Federal Reserve Bank of Richmond, issue Jan, pages 11-28.
  4. Stephen H. Axilrod, 1982. "Monetary policy, money supply, and the Federal Reserve's operating procedures," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Jan, pages 13-24.
  5. David S. Jones, 1981. "Contemporaneous vs. lagged reserve accounting: implications. for monetary control," Economic Review, Federal Reserve Bank of Kansas City, issue Nov, pages 3-19.
  6. Marvin Goodfriend & Gary Anderson & Anil Kashyap & George Moore & Richard D. Porter, 1984. "A weekly perfect foresight model of the nonborrowed reserve operating procedure," Working Paper 84-04, Federal Reserve Bank of Richmond.
  7. William T. Gavin & Nicholas V. Karamouzis, 1985. "The reserve market and the information content of M1 announcements," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 11-28.
  8. Poole, William, 1982. "Federal Reserve Operating Procedures: A Survey and Evaluation of the Historical Record since October 1979," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 14(4), pages 575-96, November.
  9. Tinsley, Peter A, et al, 1982. "Policy Robustness: Specification and Simulation of a Monthly Money Market Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 14(4), pages 829-56, November.
  10. Johannes, James M & Rasche, Robert H, 1981. "Can the Reserves Approach to Monetary Control Really Work?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(3), pages 298-313, August.
  11. Tarhan, Vefa & Spindt, Paul A., 1983. "Bank earning asset behavior and causality between reserves and money : Lagged versus contemporaneous reserve accounting," Journal of Monetary Economics, Elsevier, vol. 12(2), pages 331-341.
  12. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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