The Euro Interbank Repo Market
Type
conference paper
Date Issued
2014-08-27
Author(s)
Abstract
Using a novel and comprehensive dataset, we provide the first systematic study of the euro interbank repo market. We describe its unique infrastructure and the evolution of market activity from 2006 to 2013. We identify risk and central bank liquidity provisions as the main state variables. In contrast to repo markets in the United States, the central counterparty-based segment is resilient during crisis episodes. This suggests that banks use the euro interbank repo market as a means of liquidity hoarding. The key characteristics that render the market resilient are anonymous trading via a central counterparty, reliance on safe collateral, and the option to reuse collateral.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Start page
1
End page
48
Pages
48
Event Title
41st Annual Conference of the European Finance Association (EFA)
Event Location
Lugano
Event Date
27.-30.08.2014
Subject(s)
Eprints ID
234855