Repo runs: evidence from the tri-party repo market

Adam Copeland, Antoine Martin and Michael Walker

No 506, Staff Reports from Federal Reserve Bank of New York

Abstract: The repo market has been viewed as a potential source of financial instability since the 2007-09 financial crisis, owing in part to findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that no system-wide run on repo occurred. 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.

Keywords: tri-party repos; wholesale funding; money markets; short-term funding (search for similar items in EconPapers)
JEL-codes: E44 E58 G24 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ban and nep-fmk
Note: For a published version of this report, see Adam Copeland, Antoine Martin, and Michael Walker, "Repo Runs: Evidence from the Tri-Party Repo Market," Journal of Finance 69, no. 6 (December 2014): 2343-80.
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Citations: View citations in EconPapers (107)

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Journal Article: Repo Runs: Evidence from the Tri-Party Repo Market (2014)
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