The Run on Repo and the Fed's Response

Gary Gorton, Toomas Laarits and Andrew Metrick

No 24866, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase (“repo”) market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo runs, because detailed data on repo quantities is not available. We provide quantity evidence of the run on repo through an examination of the collateral brought to emergency liquidity facilities of the Federal Reserve. We show that the magnitude of repo discounts (“haircuts”) on specific collateral is related to the likelihood of that collateral being brought to Fed facilities.

JEL-codes: E32 E44 E58 G01 (search for similar items in EconPapers)
Date: 2018-07
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-mac and nep-mon
Note: AP CF EFG ME
References: Add references at CitEc
Citations:

Published as Gary Gorton & Toomas Laarits & Andrew Metrick, 2020. "The Run on Repo and the Fed's Response," Journal of Financial Stability, .

Downloads: (external link)
http://www.nber.org/papers/w24866.pdf (application/pdf)

Related works:
Journal Article: The run on repo and the Fed’s response (2020)
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:nbr:nberwo:24866

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w24866

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by (wpc@nber.org).