Which financial frictions? Parsing the evidence from the financial crisis of 2007-09

Tobias Adrian, Paolo Colla () and Hyun Song Shin

No 528, Staff Reports from Federal Reserve Bank of New York

Abstract: We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending (sec lending) markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets, and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection should include six characteristics of repo and sec lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.

Keywords: Financial crises; Finance; Macroeconomics; Econometric models; Bank loans; Bonds; Credit (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ban
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Citations: View citations in EconPapers (19)

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Working Paper: Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09 (2011)
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