Jan Wrampelmeyer

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Title
Prof. Dr.
Last Name
Wrampelmeyer
First name
Jan
Phone
+41 71 224 7039
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http://ssrn.com/author=1295192

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    Item type:Publication,
    The Euro Interbank Repo Market
    (2016-01-04)
    Mancini, Loriano
    ;
    Ranaldo, Angelo  
    ;
    Wrampelmeyer, Jan  
    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
    DOI:10.2139/ssrn.2331355
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/104767