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Jan Wrampelmeyer
Former Member
Title
Prof. Dr.
Last Name
Wrampelmeyer
First name
Jan
Phone
+41 71 224 7039
Web Site
SSRN
http://ssrn.com/author=1295192
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Item type:Publication, The Euro Interbank Repo MarketThe 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 resilienceType:journal articleJournal:The Review of Financial StudiesVolume:29Issue:7Scopus© Citations 62 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Unsecured and Secured Funding(2017-06-10); We provide the first joint analysis of the secured and unsecured money markets of the euro area using bank-level data. After the Lehman crisis, two important substitution mechanisms emerge: banks with higher credit risk offset reductions of unsecured borrowing with secured funding. Riskier banks replace unsecured lending by granting more secured loans. However, high leverage and reliance on short-term funding hamper banks' ability to substitute. Moreover, banks enduring money market strains contribute to the credit crunch. Overall, our findings suggest that the secured segment of the euro money market contributes to financial stability, mitigating systemic effects such as short-term funding strains and contagion.Type:conference paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The Euro Interbank Repo Market(2016-01-04); 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.Type:conference paper