RDP 2024-08: Modelling Reserve Demand with Deposits and the Cost of Collateral Appendix B: Robustness Tests

Laurence Bristow

November 2024

B.1 Alternative measures for deposits

Table B1: Robustness for Deposit Measure
  Total deposits At-call deposits Total overnight/at-call funding Uninsured deposits Credit lines
Constant −377.30***
(32.18)		 −561.50***
(65.21)		 −667.70***
(79.42)		 −289.10***
(24.89)		 −394.10***
(99.07)
ln(Reserves) −4.78***
(0.99)		 −6.11***
(1.77)		 −4.57*
(2.37)		 −4.81***
(1.07)		 −3.76**
(1.69)
Specials −0.05**
(0.02)		 −0.10***
(0.03)		 −0.13**
(0.04)		 −0.07***
(0.02)		 −0.06
(0.04)
ln(Deposits) 52.01***
(4.32)		       52.61*
(26.29)
ln(At-call deposits)   79.08***
(9.44)		      
ln(Total overnight/at-call funding)     90.22***
(11.27)		    
ln(Uninsured deposits)       43.57***
(3.59)		  
ln(credit lines)         1.34
(24.00)
Observations 46 46 15 46 15
AIC 190.5 209.7 74.5 193.4 69.5
Adjusted R2 0.82 0.73 0.69 0.81 0.78
Estimation IV IV IV IV IV
Notes: *, ** and *** denote statistical significance at the 1, 5 and 10 per cent levels, respectively. HAC standard errors in parentheses.

B.2 Alternative measures for opportunity cost of collateral

Table B2: Robustness for Collateral Dynamics Measure
  3-year bond–OIS 10-year bond–OIS Asset swap spread
Constant −379.00***
(34.56)		 −453.60***
(39.88)		 −424.90***
(37.43)
ln(Reserves) −4.62***
(1.01)		 −5.37***
(0.83)		 −5.51***
(0.97)
ln(Deposits) 52.14***
(4.67)		 61.99***
(5.08)		 58.56***
(4.77)
3-year bond–OIS 6.56**
(3.13)		    
10-year bond–OIS   6.13**
(2.71)		  
Asset swap spread(a)     0.07*
(0.27)
Observations 46 46 46
AIC 192.8 192.8 192.1
Adjusted R2 0.82 0.82 0.82
Estimation IV IV IV

Notes: *, ** and *** denote statistical significance at the 1, 5 and 10 per cent levels, respectively. HAC standard errors in parentheses.

(a) Average of 1-, 3-, 5- and 10-year tenors.

B.3 Alternative sources for overnight GC repo rate

Table B3: Robustness for Alternative Repo Rate
  SOFIA(a) Calculated using APRA data
Constant −236.40***
(69.45)		 −377.30***
(32.18)
ln(Reserves) −6.66***
(2.07)		 −4.78***
(0.99)
Specials 35.60***
(7.07)		 52.01***
(4.32)
ln(Deposits) −0.04**
(0.02)		 −0.05**
(0.02)
Observations 34 46
AIC 135.6 190.5
Adjusted R2 0.82 0.82
Estimation IV IV

Notes: *, ** and *** denote statistical significance at the 1, 5 and 10 per cent levels, respectively. HAC standard errors in parentheses.

(a) ASX's official beta estimate for SOFIA; volume-weighted median.

B.4 Alternative functional forms

Table B4: Robustness for Alternative Functional Forms
  Inverse Arctangent Log
Constant −388.40***
(37.06)		 577.20**
(275.90)		 −377.30***
(32.18)
1/(Reserves) 614.70***
(184.40)		    
Arctan (Reserves)   −614.70***
(184.40)		  
ln(Reserves)     −4.78***
(0.99)
Specials −0.07***
(0.02)		 −0.07***
(0.02)		 −0.05**
(0.02)
ln(Deposits) 49.74***
(4.64)		 49.74***
(4.64)		 52.01***
(4.31)
Observations 46 46 46
AIC 201.3 201.3 190.5
Adjusted R2 0.78 0.78 0.82
Estimation OLS OLS OLS
Notes: *, ** and *** denote statistical significance at the 1, 5 and 10 per cent levels, respectively. HAC standard errors in parentheses.