Repo Market Microstructure in Unusual Monetary Policy Conditions
The financial turmoil that began in mid-2007 produced severe stress in interbank markets and prompted significant changes in central banks’ funding operations. We examine the changing characteristics of ECB official interventions through the crisis and assess how they affected the efficiency and reliability of the secondary repo market as a mechanism for the distribution of interbank funding. The limit orderbook from the BrokerTec electronic repo trading platform is reconstructed to provide a range of indicators of participating banks’ aversion to the risk of failing to fund their liquidity needs. These indicators anticipate similar variables from ECB reverse repo auctions and are also affected by surprise outcomes of auctions.
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| Date of creation: | Mar 2011 |
| Date of revision: | |
| Handle: | RePEc:cbi:wpaper:8/rt/11 |
| Contact details of provider: | Postal: P.O. Box No. 559, Dame Street, Dublin 2 Phone: (01) 671 6666 Fax: (01) 671 6561 Web page: http://www.centralbank.ie Email: More information through EDIRC
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