The Euro Interbank Repo Market

• 成果类型: Article
• 署名作者: Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan
• 署名单位: Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of St Gallen
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv056
• 发表日期: 2016
• 页码: 1747
• 关键词: liquidity; RISK

摘要

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. (JEL E43, E58, G01, G12, G21, G28)