Uncertainty and Banks’ Security Holdings

V. Dang, H. Nguyen
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Abstract

The paper enriches the existing literature on financial intermediaries’ operations in the face of uncertainty by empirically examining the impact of banking uncertainty on banks’ security holdings. Using bank-level data in Vietnam during 2007–2019 to compute a micro uncertainty proxy based on the dispersion of bank shocks, we document that banking uncertainty tends to enhance total security holdings at banks. Decomposing aggregate securities into disaggregate components, we find that safer investments (including government bonds and financial institution bonds) dominate the overall impact of banking uncertainty on security holdings, which completely offset a drop in the volume of riskier investments (including corporate bonds and stocks) in times of higher uncertainty. Furthermore, our analysis reveals that the impact of banking uncertainty on all security holdings is stronger at riskier banks, thereby implying that bank behavior is likely attributable to the precautionary motive.
不确定性与银行证券持有
本文通过实证研究银行不确定性对银行证券持有量的影响,丰富了现有文献中关于金融中介机构面对不确定性时的操作。利用2007-2019年越南银行层面的数据,基于银行冲击的分散度计算微观不确定性代理,我们发现银行业的不确定性倾向于增加银行的总证券持有量。将总证券分解为分解成分,我们发现更安全的投资(包括政府债券和金融机构债券)主导了银行不确定性对证券持有量的总体影响,这完全抵消了高风险投资(包括公司债券和股票)在更高不确定性时期的交易量下降。此外,我们的分析显示,在风险较高的银行,银行不确定性对所有证券持有的影响更大,从而意味着银行行为可能归因于预防性动机。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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