THE RISK OF FIRE SALES IN THE TRI-PARTY REPO MARKET

Brian Begalle, Antoine Martin, James McAndrews and Susan McLaughlin

Contemporary Economic Policy, 2016, vol. 34, issue 3, 513-530

Abstract: type="main" xml:id="coep12126-abs-0001"> This paper studies the risk of “fire sales” in the tri-party repo market, a large and important market where securities dealers find short-term funding for a substantial portion of their own and their clients' assets. We distinguish between fire sales of assets by a dealer who, facing a run that could lead to default, sells securities to generate liquidity, and fire sales of assets by repo investors after a dealer's default has occurred. While fire sales do cause damage no matter how they arise, the tools available to lessen the harm from the two types of fire sales are different. We find that limited tools are available to mitigate the risk of predefault fire sales and that no established tools currently exist to mitigate the risk of postdefault sales. ( JEL G01, G18)

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1111/coep.2016.34.issue-3 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The risk of fire sales in the tri-party repo market (2013)
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:bla:coecpo:v:34:y:2016:i:3:p:513-530

Ordering information: This journal article can be ordered from
https://ordering.onl ... 5-7287&ref=1465-7287

Access Statistics for this article

Contemporary Economic Policy is currently edited by Brad R. Humphreys

More articles in Contemporary Economic Policy from Western Economic Association International Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().