Repo Market Microstructure in Unusual Monetary Policy Conditions

Peter Dunne, Michael Fleming and Andrey Zholos
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Andrey Zholos: Queen’s University Management School

No 8/RT/11, Research Technical Papers from Central Bank of Ireland

Abstract: The financial turmoil that began in mid-2007 produced severe stress in interbank markets and prompted significant changes in central banks’ funding operations. We examine the changing characteristics of ECB official interventions through the crisis and assess how they affected the efficiency and reliability of the secondary repo market as a mechanism for the distribution of interbank funding. The limit orderbook from the BrokerTec electronic repo trading platform is reconstructed to provide a range of indicators of participating banks’ aversion to the risk of failing to fund their liquidity needs. These indicators anticipate similar variables from ECB reverse repo auctions and are also affected by surprise outcomes of auctions.

Keywords: Repo; Financial crisis; liquidity; market microstructure; monetary policy operations (search for similar items in EconPapers)
Date: 2011-03
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:8/rt/11

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