Repo over the Financial Crisis

Adam Copeland and Antoine Martin

No 996, Staff Reports from Federal Reserve Bank of New York

Abstract: This paper uses new data to provide a comprehensive view of repo activity during the 2007-09 financial crisis for the first time. We show that activity declined much more in the bilateral segment of the market than in the tri-party segment. Surprisingly, we find that a large share of the decline in activity is driven by repos backed by Treasury securities. Further, a disproportionate share of the decline in repo activity is connected to securities dealer’s market-making activity in Treasury securities. In particular, the evidence suggests that at least part of the decline is not driven by clients pulling away from securities dealers because of counterparty credit concerns.

Keywords: repo; financial crisis; money markets (search for similar items in EconPapers)
JEL-codes: E42 G01 G23 (search for similar items in EconPapers)
Pages: 42
Date: 2021-12-01
New Economics Papers: this item is included in nep-ban, nep-cwa, nep-fmk, nep-mac and nep-mon
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