The Euro Interbank Repo Market

Item Type Journal paper
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

Authors Mancini, Loriano; Ranaldo, Angelo & Wrampelmeyer, Jan
Journal or Publication Title The Review of Financial Studies
Language English
Keywords Repurchase agreements, money market structure, central counterparty, short-term debt, financial crisis, unconventional monetary policy
Subjects business studies
Institute/School s/bf - Swiss Institute of Banking and Finance
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HSG Classification contribution to scientific community
Refereed No
Date 16 September 2015
Publisher Oxford Univ. Press
Place of Publication Cary, NC
Volume 29
Number 7
Page Range 1747-1779
ISSN 0893-9454
ISSN-Digital 1465-7368
Publisher DOI 10.1093/rfs/hhv056
Depositing User Prof. Dr. Angelo Ranaldo
Date Deposited 25 Nov 2015 08:24
Last Modified 18 Feb 2018 01:22
URI: https://www.alexandria.unisg.ch/publications/245603

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Citation

Mancini, Loriano; Ranaldo, Angelo & Wrampelmeyer, Jan (2015) The Euro Interbank Repo Market. The Review of Financial Studies, 29 (7). 1747-1779. ISSN 0893-9454

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https://www.alexandria.unisg.ch/id/eprint/245603
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