IDEAS home Printed from https://ideas.repec.org/p/fip/fednls/87207.html
   My bibliography  Save this paper

Regulatory Incentives and Quarter-End Dynamics in the Repo Market

Author

Listed:
  • James Egelhof
  • Antoine Martin
  • Noah Zinsmeister

Abstract

Since the global financial crisis, central bankers and other prudential authorities have been working to design and implement new banking regulations, known as Basel III, to reduce risk in the financial sector. Although most features of the Basel III regime are implemented consistently across jurisdictions, some important details vary. In particular, banks headquartered in the euro area, Switzerland, and Japan report their leverage ratios?essentially, capital divided by total consolidated assets?as a snapshot of their value on the last day of the quarter. In contrast, institutions headquartered in the United States and the United Kingdom report most leverage ratio components as averages of their daily values over the quarter. In this post, we study the impact of this difference in regulatory implementation on rates and quantities borrowed in the U.S. repo market.

Suggested Citation

  • James Egelhof & Antoine Martin & Noah Zinsmeister, 2017. "Regulatory Incentives and Quarter-End Dynamics in the Repo Market," Liberty Street Economics 20170807, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:87207
    as

    Download full text from publisher

    File URL: https://libertystreeteconomics.newyorkfed.org/2017/08/regulatory-incentives-and-quarter-end-dynamics-in-the-repo-market.html
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    quarter end; Repo market; leverage ratio;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fednls:87207. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gabriella Bucciarelli (email available below). General contact details of provider: https://edirc.repec.org/data/frbnyus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.