Sizing Up Repo

Arvind Krishnamurthy, Stefan Nagel and Dmitry Orlov

Journal of Finance, 2014, vol. 69, issue 6, 2381-2417

Abstract: type="main">

To understand which short-term debt markets experienced “runs” during the financial crisis, we analyze a novel data set of repurchase agreements (repo), that is, loans between nonbank cash lenders and dealer banks collateralized with securities. Consistent with a run, repo volume backed by private asset-backed securities falls to near zero in the crisis. However, the reduction is only $182 billion, which is small relative to the stock of private asset-backed securities as well as the contraction in asset-backed commercial paper. While the repo contraction is small in aggregate, it disproportionately affected a few dealer banks.

Date: 2014
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Working Paper: Sizing Up Repo (2012)
Working Paper: Sizing Up Repo (2012)
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