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Developments in repo markets during the financial turmoil

Author

Listed:
  • Peter Hördahl
  • Michael R King

Abstract

As the financial crisis deepened and unsecured interbank markets effectively shut down, repo market activity became increasingly concentrated in the very shortest maturities and against the highest-quality collateral. Repo rates for US Treasury collateral fell relative to overnight index swap rates, while comparable sovereign repo rates in the euro area and the United Kingdom rose. The different dynamics across markets reflected, among other things, differences in the intensity of market disruptions and the extent of the scarcity of sovereign collateral.

Suggested Citation

  • Peter Hördahl & Michael R King, 2008. "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, December.
    • Handle: RePEc:bis:bisqtr:0812e
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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