Systemic risk in clearing houses: Evidence from the European repo market

• 成果类型: Article
• 署名作者: Boissel, Charles; Derrien, Francois; Ors, Evren; Thesmar, David
• 署名单位: Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.06.010
• 发表日期: 2017
• 页码: 511-536
• 关键词: Repurchase agreement; Sovereign debt crisis; LTRO; Secured money market lending; Clearing houses

摘要

We study how crises affect Central Clearing Counterparties (CCPs). We focus on a large and safe segment of the CCP-cleared repo market during the Eurozone sovereign debt crisis. We develop a simple model to infer CCP stress, which is measured as repo rates' sensitivity to sovereign credit default swaps (CDS) spreads and jointly captures (1) the effectiveness of haircut policies, (2) CCP-member default risk (conditional on sovereign default), and (3) CCP default risk (conditional on both sovereign and CCP-member default). During 2011, repo rates strongly respond to sovereign risk, particularly for Greece, Italy, Ireland, Portugal and Spain (GIIPS): Repo investors behaved as if the conditional probability of CCP default was substantial. (c) 2017 Elsevier B.V. All rights reserved.