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The Euro Interbank Repo Market

Loreano Mancini (), Angelo Ranaldo and Jan Wrampelmeyer ()

No 1316, Working Papers on Finance from University of St. Gallen, School of Finance

Abstract: The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the market is resilient during crisis episodes and may even act as a shock absorber, in the sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison across different repo markets shows that anonymous CCP-based trading, safe collateral, and the absence of an unwind mechanism are the key characteristics to ensure market resilience.

Keywords: Repurchase agreements; money market structure; central counterparty; short-term debt; financial crisis; unconventional monetary policy (search for similar items in EconPapers)
JEL-codes: E43 E58 G01 G12 G21 G28 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2013-09, Revised 2015-09
New Economics Papers: this item is included in nep-ban, nep-eec, nep-fmk and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (51)

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Journal Article: The Euro Interbank Repo Market (2016) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:usg:sfwpfi:2013:16

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