The Euro Interbank Repo Market
Journal
The Review of Financial Studies
ISSN
0893-9454
ISSN-Digital
1465-7368
Type
journal article
Date Issued
2015-09-16
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
Refereed
No
Publisher
Oxford Univ. Press
Publisher place
Cary, NC
Volume
29
Number
7
Start page
1747
End page
1779
Subject(s)
Eprints ID
245603