Repo Runs: Evidence from the Tri-Party Repo Market
成果类型：
Article
署名作者：
Copeland, Adam; Martin, Antoine; Walker, Michael
署名单位：
Federal Reserve System - USA; Federal Reserve Bank - New York; University of California System; University of California Berkeley
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.12205
发表日期：
2014
页码：
2343-2380
关键词：
摘要：
The repo market has been viewed as a potential source of financial instability since the 2007 to 2009 financial crisis, based in part on findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that there was no system-wide run on repo. Using confidential data on tri-party repo, a major segment of this market, we show that, the level of margins and the amount of funding were surprisingly stable for most borrowers during the crisis. However, we also document a sharp decline in the tri-party repo funding of Lehman in September 2008.