Sizing Up Repo
成果类型：
Article
署名作者：
Krishnamurthy, Arvind; Nagel, Stefan; Orlov, Dmitry
署名单位：
Stanford University; National Bureau of Economic Research; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; University of Rochester
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.12168
发表日期：
2014
页码：
2381-2417
关键词：
摘要：
To understand which short-term debt markets experienced runs during the financial crisis, we analyze a novel data set of repurchase agreements (repo), that is, loans between nonbank cash lenders and dealer banks collateralized with securities. Consistent with a run, repo volume backed by private asset-backed securities falls to near zero in the crisis. However, the reduction is only $182 billion, which is small relative to the stock of private asset-backed securities as well as the contraction in asset-backed commercial paper. While the repo contraction is small in aggregate, it disproportionately affected a few dealer banks.