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标题：The reserve fulfilment path of euro area commercial banks: empirical testing using panel data
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作者：Nuno Cassola
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2008
卷号：1
出版社：European Central Bank
摘要：The theory of liquidity management under uncertainty predicts that, under certain conditions, commercial banks will accumulate minimum reserve requirements linearly over the reserve maintenance period. This pre- diction is empirically tested using daily data (from March 2004 until Febru- ary 2007) on the current accounts and minimum reserve requirements of a panel of 79 commercial banks from the euro area. The linear accumulation hypothesis is not rejected by the data with the exception of small banks which build-up excess reserves. The empirical analysis suggest that idio- syncratic liquidity uncertainty is much higher than aggregate liquidity un- certainty. Nevertheless, on the penultimate day in the reserve maintenance period, the inverse demand schedule of the representative bank is relatively at around the middle of the interest rate corridor set by the standing fa- cilities. This suggests that liquidity e¤ects on the overnight inter-bank rate should be very muted on this day. Our calibration exercise suggests that the probability of an individual banks daily overdraft in the euro area is very low (less than 1:0%). This is conrmed by the analysis of the daily recourses to the marginal lending facility by the panel banks.
关键词：Monetary policy implementation; Reserve requirements; Rate;corridor; Liquidity management; Panel data.