How Well Do Mexican Banks Manage Their Reserves?
利用墨西哥银行每日清算数据，估计银行面临的存款不确定性，并评估其最优准备金管理策略，发现模型预测与多数银行实际行为吻合，且比简单经验法则更节省成本。
In this paper we investigate how well banks manage their reserves. The optimal policy takes into account expected foregone interest on excess reserves and penalty costs for going below required reserves. Using a unique panel data set on daily clearing house settlements of a cross-section of Mexican banks we estimate the deposit uncertainty banks face, and in turn their optimal reserve behavior. The most important variables in forecasting the deposit uncertainty are the interbank fund-transfers of the day, certain calendar dates, and the interest rate differential between the money market rate and the discount rate—a measure reflecting the bank's opportunity cost of money holdings. For most banks, the model's prediction accord relatively well with the observed reserve behavior of banks. The model produces reserve costs that are significantly smaller relative to the case when reserves are set via a simple rule of thumb. Furthermore, alternative motives for holding reserves (such as liquidity and reputation effects) do not seem to explain why certain banks hold relatively large reserves.