Portfolio behaviour of the London clearing banks: 1953-1969
Portfolio behaviour of the London clearing banks: 1953-1969
This study examines the portfolio behaviour of the London ClearingSachs. A Central theme of the study involves the imposition of specific separability restrictions to the banks asset allocation decision process. In particular, the portfolio of assets is dichotomised into two major groupings) Laming Assets and Reserve Assets. Allocation decisions are assumed to be made between these broad aggregates first of all and then, only when this Initial decision has been made, between the individual components of each grouping. As a consequence, the decision process for each asset is assumed to take place In two stages, and altogether, in fact, three separate sets of allocation decisions are analysed for each stage, asset demand functions are developed for certain 'choice' assets in terms of other predetermined asset and liability values. Of particular interest hers Is the fact that attempts are made to explain the banks' holdings of Excess Reserves and Advances. Within each stage, the influence on the allocation decision of expectations hold regarding the exogamous items of the portfolio is highlighted. Account is also taken of dynamic adjustment factors. Inch considerations enable a distinction to be drum between planned ex-ante and actual ex-post demands.The results are encouraging and broadly support the approach adopted. The Excess Reserves specification is surprisingly successful end the results obtained for this decision stage, in particular, highlight the validity of considering the influence of expectations on the allocation process. The Advances decision is shown to be dominated by supply influences. All policy instruments,employed in the period, would appear to have had an effect on the outstanding amount of Advances. The results in this respect, are particularly interesting in relation to Special Deposits, since most previous studies have commented on the lack of success of this particular policy instrument.
University of Southampton
1979
Thompson, William Neil
(1979)
Portfolio behaviour of the London clearing banks: 1953-1969.
University of Southampton, Doctoral Thesis.
Record type:
Thesis
(Doctoral)
Abstract
This study examines the portfolio behaviour of the London ClearingSachs. A Central theme of the study involves the imposition of specific separability restrictions to the banks asset allocation decision process. In particular, the portfolio of assets is dichotomised into two major groupings) Laming Assets and Reserve Assets. Allocation decisions are assumed to be made between these broad aggregates first of all and then, only when this Initial decision has been made, between the individual components of each grouping. As a consequence, the decision process for each asset is assumed to take place In two stages, and altogether, in fact, three separate sets of allocation decisions are analysed for each stage, asset demand functions are developed for certain 'choice' assets in terms of other predetermined asset and liability values. Of particular interest hers Is the fact that attempts are made to explain the banks' holdings of Excess Reserves and Advances. Within each stage, the influence on the allocation decision of expectations hold regarding the exogamous items of the portfolio is highlighted. Account is also taken of dynamic adjustment factors. Inch considerations enable a distinction to be drum between planned ex-ante and actual ex-post demands.The results are encouraging and broadly support the approach adopted. The Excess Reserves specification is surprisingly successful end the results obtained for this decision stage, in particular, highlight the validity of considering the influence of expectations on the allocation process. The Advances decision is shown to be dominated by supply influences. All policy instruments,employed in the period, would appear to have had an effect on the outstanding amount of Advances. The results in this respect, are particularly interesting in relation to Special Deposits, since most previous studies have commented on the lack of success of this particular policy instrument.
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Published date: 1979
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Local EPrints ID: 462566
URI: http://eprints.soton.ac.uk/id/eprint/462566
PURE UUID: 2f3a63be-1df9-4d92-8f4b-87deeb0709d6
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Date deposited: 04 Jul 2022 19:23
Last modified: 04 Jul 2022 19:23
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Author:
William Neil Thompson
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