Repo Runs

Antoine Martin, David Skeie and Ernst-Ludwig von Thadden

The Review of Financial Studies, 2014, vol. 27, issue 4, 957-989

Abstract: The recent financial crisis has shown that short-term collateralized borrowing may be a highly unstable source of funds in times of stress. In this paper, we develop a dynamic equilibrium model and analyze under what conditions such instability can be a consequence of market-wide changes in expectations. We derive a liquidity constraint and a collateral constraint that determine whether such expectations-driven runs are possible and show that they depend crucially on the microstructure of particular funding markets that we examine in detail. This provides insights into the differences between the tri-party repo market and the bilateral repo market, which were both at the heart of the recent financial crisis.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://hdl.handle.net/10.1093/rfs/hht134 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Repo Runs (2013)
Working Paper: Repo runs (2011)
Working Paper: Repo Runs (2011)
Working Paper: Repo runs (2010)
Working Paper: Repo Runs (2010)
Working Paper: Repo Runs (2010)
Working Paper: Repo Runs (2010)
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:oup:rfinst:v:27:y:2014:i:4:p:957-989.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

The Review of Financial Studies is currently edited by Itay Goldstein

More articles in The Review of Financial Studies from Society for Financial Studies Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().