Repo and Securities Lending
AbstractWe 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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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18549.
Date of creation: Nov 2012
Date of revision:
Publication status: published as Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin. "Repo and Securities Lending," in Markus K. Brunnermeier and Arvind Krishnamurthy, editors, "Risk Topography: Systemic Risk and Macro Modeling" University of Chicago Press (2013)
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Other versions of this item:
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-06 (All new papers)
- NEP-BAN-2012-12-06 (Banking)
- NEP-FMK-2012-12-06 (Financial Markets)
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"Sizing Up Repo,"
CEPR Discussion Papers
8795, C.E.P.R. Discussion Papers.
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