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Repo Market Microstructure in Unusual Monetary Policy Conditions

Author

Listed:
  • Dunne, Peter

    (Central Bank of Ireland)

  • Fleming, Michael J.

    (Federal Reserve Bank of New York)

  • Zholos, Andrey

    (Queen’s University Management School)

Abstract

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.

Suggested Citation

  • Dunne, Peter & Fleming, Michael J. & Zholos, Andrey, 2011. "Repo Market Microstructure in Unusual Monetary Policy Conditions," Research Technical Papers 8/RT/11, Central Bank of Ireland.
  • Handle: RePEc:cbi:wpaper:8/rt/11
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    File URL: https://centralbank.ie/docs/default-source/publications/research-technical-papers/research-technical-paper-08rt11.pdf?sfvrsn=8
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    Cited by:

    1. Boissel, Charles & Derrien, François & Ors, Evren & Thesmar, David, 2017. "Systemic risk in clearing houses: Evidence from the European repo market," Journal of Financial Economics, Elsevier, vol. 125(3), pages 511-536.
    2. Ebner, André & Fecht, Falko & Schulz, Alexander, 2016. "How central is central counterparty clearing? A deep dive into a European repo market during the crisis," Discussion Papers 14/2016, Deutsche Bundesbank.
    3. Jakob Korbinian Eberl, 2016. "The Collateral Framework of the Eurosystem and Its Fiscal Implications," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69.
    4. Fuhrer, Lucas Marc, 2018. "Liquidity in the repo market," Journal of International Money and Finance, Elsevier, vol. 84(C), pages 1-22.
    5. A. Bernales & M. di Filippo, 2016. "The Information Contained in Money Market Interactions: Unsecured vs. Collateralized Lending," Working papers 598, Banque de France.
    6. Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2016. "The Euro Interbank Repo Market," Review of Financial Studies, Society for Financial Studies, vol. 29(7), pages 1747-1779.
    7. repec:eee:finsta:v:33:y:2017:i:c:p:311-330 is not listed on IDEAS

    More about this item

    Keywords

    Repo; Financial crisis; liquidity; market microstructure; monetary policy operations;

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