Repo markets, counterparty risk and the 2007/2008 liquidity crisis

Christian Ewerhart and Jens Tapking

No 909, Working Paper Series from European Central Bank

Abstract: A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank's collateral framework. As an important innovation, we allow for two-sided counterparty risk. Our findings relate to empirical characteristics of repo transactions and have an immediate bearing on market developments since August 2007. JEL Classification: G21, G32, E51

Keywords: collateral; counterparty risk; haircuts.; liquidity; repurchase agreements (search for similar items in EconPapers)
Date: 2008-06
Note: 428113
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp909.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2008909

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().