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Repo and Securities Lending

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  • Tobias Adrian
  • Brian Begalle
  • Adam Copeland
  • Antoine Martin

Abstract

We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection would include, at a minimum, six characteristics of repo and securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18549.

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Date of creation: Nov 2012
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Publication status: Forthcoming: Repo and Securities Lending , Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin. in Risk Topography: Systemic Risk and Macro Modeling , Brunnermeier and Krishnamurthy. 2014
Handle: RePEc:nbr:nberwo:18549

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  1. Krishnamurthy, Arvind & Nagel, Stefan & Orlov, Dmitry, 2012. "Sizing Up Repo," CEPR Discussion Papers 8795, C.E.P.R. Discussion Papers.
  2. Tobias Adrian & Hyun Song Shin, 2009. "Prices and quantities in the monetary policy transmission mechanism," Staff Reports 396, Federal Reserve Bank of New York.
  3. Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and leverage," Staff Reports 328, Federal Reserve Bank of New York.
  4. Nicolae B. Garleanu & Lasse Heje Pedersen & Adam B. Ashcraft, 2010. "Two Monetary Tools: Interest-Rates and Haircuts," 2010 Meeting Papers 1102, Society for Economic Dynamics.
  5. Tobias Adrian & Michael J. Fleming, 2005. "What financing data reveal about dealer leverage," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Mar).
  6. Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
  7. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 14-23.
  8. Tobias Adrian & Christopher R. Burke & James J. McAndrews, 2009. "The Federal Reserve's Primary Dealer Credit Facility," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 15(Aug).
  9. Duffie, Darrell, 1996. " Special Repo Rates," Journal of Finance, American Finance Association, vol. 51(2), pages 493-526, June.
  10. Gary B. Gorton & Andrew Metrick, 2009. "Securitized Banking and the Run on Repo," NBER Working Papers 15223, National Bureau of Economic Research, Inc.
  11. Kenneth D. Garbade & Jeffrey F. Ingber, 2005. "The Treasury auction process: objectives, structure, and recent acquisitions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Feb).
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Cited by:
  1. Palan, R. & Nesvetailova, A., 2013. "The Governance of the Black Holes of the World Economy: Shadow Banking and Offshore Finance," CITYPERC Working Paper Series 2013-03, Department of International Politics, City University London.
  2. Adrian, Tobias, 2014. "Financial stability policies for shadow banking," Staff Reports 664, Federal Reserve Bank of New York.
  3. 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.).
  4. Tobias Adrian & Adam B. Ashcraft & Nicola Cetorelli, 2013. "Shadow bank monitoring," Staff Reports 638, Federal Reserve Bank of New York.
  5. Tobias Adrian & Adam B. Ashcraft, 2012. "Shadow banking regulation," Staff Reports 559, Federal Reserve Bank of New York.
  6. Fligstein, Neil & Goldstein, Adam, 2012. "Sucker Punched by the Invisible Hand," Institute for Research on Labor and Employment, Working Paper Series qt1754s7tz, Institute of Industrial Relations, UC Berkeley.
  7. Frank Keane, 2013. "Securities loans collateralized by cash: reinvestment risk, run risk, and incentive issues," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 19(May).
  8. Mancini, Loreano & Ranaldo, Angelo & Wrampelmeyer, Jan, 2013. "The Euro Interbank Repo Market," Working Papers on Finance 1316, University of St. Gallen, School of Finance.
  9. Tobias Adrian & Adam B. Ashcraft, 2012. "Shadow banking: a review of the literature," Staff Reports 580, Federal Reserve Bank of New York.
  10. D'Amico, Stefania & Fan, Roger & Kitzul, Yuriy, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
  11. Thorvald Grung Moe, 2012. "Shadow Banking and the Limits of Central Bank Liquidity Support: How to Achieve a Better Balance between Global and Official Liquidity," Economics Working Paper Archive wp_712, Levy Economics Institute.

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