The Euro Interbank Repo Market
Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2013-10-30
Author(s)
Abstract
We provide the first systematic study of the euro interbank repo market, which has a unique infrastructure. We document the evolution of market activity and identify risk and central bank liquidity provisions as the main state variables. In contrast to repo markets in the United States, the central counterparty-based segment is resilient during crisis episodes.
This suggests that banks use the repo market as a means of liquidity hoarding. Anonymous trading via a central counterparty, reliance on safe collateral, and reusability of collateral, are the key characteristics that render the euro repo market resilient.
This suggests that banks use the repo market as a means of liquidity hoarding. Anonymous trading via a central counterparty, reliance on safe collateral, and reusability of collateral, are the key characteristics that render the euro repo market resilient.
Language
English
Keywords
Repurchase agreements
Repo market
secured funding
liquidity hoarding
shadow banking system
financial crisis
unconventional monetary policy
HSG Classification
contribution to scientific community
Publisher
SoF-HSG
Publisher place
St. Gallen
Number
2013/16
Subject(s)
Eprints ID
248039
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Name
13_16_Ranaldo et al_Euro Interbank Repo Market.pdf
Size
960.92 KB
Format
Adobe PDF
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