Repo Runs: Evidence from the Tri-Party Repo Market

Adam Copeland, Antoine Martin and Michael Walker

Journal of Finance, 2014, vol. 69, issue 6, 2343-2380

Abstract: type="main">

The repo market has been viewed as a potential source of financial instability since the 2007 to 2009 financial crisis, based in part on findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that there was no system-wide run on repo. 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.

Date: 2014
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Working Paper: Repo runs: evidence from the tri-party repo market (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:69:y:2014:i:6:p:2343-2380

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