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Repo Market Microstructure in Unusual Monetary Policy Conditions

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Author Info

  • Dunne, Peter

    (Central Bank of Ireland)

  • Fleming, Michael J.

    (Federal Reserve Bank of New York)

  • Zholos, Andrey

    (Queen’s University Management School)

Abstract

The financial turmoil that began in mid-2007 produced severe stress in interbank markets and prompted significant changes in central banks’ funding operations. We examine the changing characteristics of ECB official interventions through the crisis and assess how they affected the efficiency and reliability of the secondary repo market as a mechanism for the distribution of interbank funding. The limit orderbook from the BrokerTec electronic repo trading platform is reconstructed to provide a range of indicators of participating banks’ aversion to the risk of failing to fund their liquidity needs. These indicators anticipate similar variables from ECB reverse repo auctions and are also affected by surprise outcomes of auctions.

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File URL: http://www.centralbank.ie/publications/documents/08RT11.pdf
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Bibliographic Info

Paper provided by Central Bank of Ireland in its series Research Technical Papers with number 8/RT/11.

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Date of creation: Mar 2011
Date of revision:
Handle: RePEc:cbi:wpaper:8/rt/11

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Related research

Keywords: Repo; Financial crisis; liquidity; market microstructure; monetary policy operations;

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Cited by:
  1. Mancini, Loreano & Ranaldo, Angelo & Wrampelmeyer, Jan, 2013. "The Euro Interbank Repo Market," Working Papers on Finance, University of St. Gallen, School of Finance 1316, University of St. Gallen, School of Finance.

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