The Euro Interbank Repo Market
Type
conference paper
Date Issued
2014-12-19
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 an important part of the European money market features this
quality, namely the central counterparty (CCP)-based euro interbank
repo market. Using a unique and comprehensive data set, we provide
the first systematic study of this market and show that it functions
well, even during crisis episodes. CCP-based repos secured with
high-quality collateral even act as a shock absorber, in the sense that
repo lending increases with risk, while spreads, maturities, and
haircuts remain stable.
the top of regulators’ policy agenda. This paper empirically shows
that an important part of the European money market features this
quality, namely the central counterparty (CCP)-based euro interbank
repo market. Using a unique and comprehensive data set, we provide
the first systematic study of this market and show that it functions
well, even during crisis episodes. CCP-based repos secured with
high-quality collateral even act as a shock absorber, in the sense that
repo lending increases with risk, while spreads, maturities, and
haircuts remain stable.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Event Title
Joint Conference of the 21st Annual Meeting of the German Finance Association (DGF) & 13th Symposium on Finance, Banking, and Insurance
Event Location
Karlsruhe
Event Date
19.-20.12.2014
Subject(s)
Eprints ID
241092