Repo runs: evidence from the tri-party repo market
AbstractThis paper provides a quantitative account of the tri-party repo market during the recent financial crisis. Using data from July 2008 to January 2010, we show that the level of haircuts and the amount of funding were surprisingly stable in this market. The stability of the haircuts contrasts with evidence from the bilateral repo market, where, as shown by Gorton and Metrick (2011), haircuts increased sharply. During the crisis, adjustments in the volume of funding to dealers were not gradual; instead, the amount of funding in the tri-party repo market can decrease precipitously. Our findings suggest that runs in the tri-party repo market resemble traditional bank runs.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Staff Reports with number 506.
Date of creation: 2011
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-29 (All new papers)
- NEP-BAN-2011-08-29 (Banking)
- NEP-FMK-2011-08-29 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010.
"Repo Market Effects of the Term Securities Lending Facility,"
American Economic Review,
American Economic Association, vol. 100(2), pages 591-96, May.
- Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010. "Repo market effects of the Term Securities Lending Facility," Staff Reports 426, Federal Reserve Bank of New York.
- Kenneth D. Garbade, 2006. "The evolution of repo contracting conventions in the 1980s," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 27-42.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007.
"Market Liquidity and Funding Liquidity,"
FMG Discussion Papers
dp580, Financial Markets Group.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Brunnermeier, Markus K & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Krishnamurthy, Arvind & Nagel, Stefan & Orlov, Dmitry, 2012.
"Sizing Up Repo,"
CEPR Discussion Papers
8795, C.E.P.R. Discussion Papers.
- Adam Copeland & Antoine Martin & Michael Walker, 2010. "The tri-party repo market before the 2010 reforms," Staff Reports 477, Federal Reserve Bank of New York.
- Tobias Adrian & Adam B. Ashcraft & Nicola Cetorelli, 2013. "Shadow bank monitoring," Staff Reports 638, Federal Reserve Bank of New York.
- Jorge Ponce & Marc Rennert, 2012. "Systemic banks and the lender of last resort," Documentos de Trabajo (working papers) 1812, Department of Economics - dECON.
- Fernando Duarte & Thomas Eisenbach, 2013. "Fire-sale spillovers and systemic risk," Staff Reports 645, Federal Reserve Bank of New York.
- Tobias Adrian Author-Name: Adam B. Ashcraft, 2012.
"shadow banking: a review of the literature,"
The New Palgrave Dictionary of Economics,
- Sebastian Infante, 2013. "Repo collateral fire sales: the effects of exemption from automatic stay," Finance and Economics Discussion Series 2013-83, Board of Governors of the Federal Reserve System (U.S.).
- Tobias Adrian & Daniel Covitz & Nellie Liang, 2013.
"Financial stability monitoring,"
Finance and Economics Discussion Series
2013-21, Board of Governors of the Federal Reserve System (U.S.).
- Bulow, Jeremy & Klemperer, Paul, 2013.
"Market-Based Bank Capital Regulation,"
2132, Stanford University, Graduate School of Business.
- Thomas M. Eisenbach, 2013. "Rollover risk as market discipline: a two-sided inefficiency," Staff Reports 597, Federal Reserve Bank of New York.
- Guillermo Calvo, 2013. "Puzzling over the Anatomy of Crises: Liquidity and the Veil of Finance," IMES Discussion Paper Series 13-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Amy Farber).
If references are entirely missing, you can add them using this form.