本文利用向量自回歸模型（VAR），探討聯邦基金利率（Fed Fund Rate）調整對美國大型與小型銀行持有債券行為的影響。研究結果顯示，大型銀行能利用其規模和資源靈活調整資產組合，迅速反應市場變化，展現其主導地位和高度敏感性。相比之下，小型銀行反應較為遲緩，顯示在策略和風險管理上的相對劣勢。此外，研究指出大型銀行的策略調整對小型銀行具有顯著的示範效應，小型銀行常觀察並模仿大型銀行的行為。本研究涵蓋2007年2月至2024年2月期間的3041家美國商業銀行數據，根據資產規模將銀行劃分為大型和小型銀行。

研究發現，聯邦基金利率的調整不僅抑制了銀行的資產配置與債券持有，還促進了大小銀行之間的策略互動。升息對債券持有的衝擊具有顯著的延遲效應，初期影響迅速，但隨後變化趨緩，表明市場參與者需要時間消化新信息並調整預期。這與Mario Catalán和Alexander W. Hoffmaister在《Do Corporate Bond Shocks Affect Commercial Bank Lending》中的研究結果一致，他們揭示通膨和升息如何通過影響銀行的資產負債表行為，對周圍銀行產生深遠影響。另一個發現是，聯邦基金利率的變動不僅影響銀行的債券持有行為，還影響其存款行為。大型銀行的存款量變動顯著影響小型銀行的存款量，顯示出策略互動效應。這表明大型銀行的策略調整具有示範作用，小型銀行會根據大型銀行的行為調整策略，進一步強化大型銀行在金融市場中的主導地位。

This study employs a Vector Autoregression (VAR) model to explore the impact of Federal Funds Rate adjustments on the bond-holding behaviors of large and small banks in the U.S. .Results show that large banks leverage their scale and resources to adjust asset portfolios quickly, demonstrating market dominance and high sensitivity. In contrast, small banks react more slowly, showing relative disadvantages in strategy and risk management. Large banks' strategic adjustments significantly influence small banks, which often mimic their behavior. The study covers data from 3,041 U.S. commercial banks from February 2007 to February 2024, categorized by asset size.

Findings indicate that Federal Funds Rate adjustments suppress banks' asset allocation and bond holdings while promoting strategic interactions between large and small banks. Interest rate hikes have significant lagged effects, with initial impacts appearing quickly and subsequent changes tapering off, indicating time needed to digest new information. This aligns with Catalán and Hoffmaister's findings in "Do Corporate Bond Shocks Affect Commercial Bank Lending," showing inflation and rate hikes' profound impact on banks. Additionally, changes in the Federal Funds Rate affect deposit behaviors. Variations in large banks' deposits significantly influence small banks, indicating strategic interaction. This reinforces the dominance of large banks in the financial market.

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