The Euro Interbank Repo Market
Type
conference paper
Date Issued
2016-01-04
Author(s)
Abstract
The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the market is resilient during crisis episodes and may even act as a shock absorber, in the sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison across different repo markets shows that anonymous CCP-based trading, safe collateral, and the absence of an unwind mechanism are the key characteristics to ensure market resilience.
Language
English
Keywords
Repurchase agreements
money market structure
central counterparty
short-term debt
financial crisis
unconventional monetary policy
HSG Classification
contribution to scientific community
Event Title
2016 American Finance Association (AFA) Annual Meeting
Event Location
San Francisco
Event Date
03.-05.01.2016
Subject(s)
Contact Email Address
angelo.ranaldo@unisg.ch
Eprints ID
248389