Anatomy of the Repo Rate Spikes in September 2019

Robert Kahn, Matthew McCormick, Vy Nguyen, Mark Paddrik and H. Peyton Young

No 23-04, Working Papers from Office of Financial Research, US Department of the Treasury

Abstract: Repurchase agreement (repo) markets represent one of the largest sources of funding and risk transformation in the U.S. financial system. Despite the large volume, repo rates can be quite volatile, and in the extreme, they have exhibited intraday spikes that are 5-10 times the rate on a typical day. This paper uses a unique combination of intraday timing data from the repo market to examine the potential causes of the dramatic spike in repo rates in mid-September 2019 (Working Paper no. 23-04).

Date: 2023-04-25
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Journal Article: Anatomy of the Repo Rate Spikes in September 2019 (2023)
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