Repo runs: evidence from the tri-party repo market
The repo market has been viewed as a potential source of financial instability since the 2007-09 financial crisis, owing in part to findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that no system-wide run on repo occurred. Using confidential data on tri-party repo, a major segment of this market, we show that the level of margins and the amount of funding were surprisingly stable for most borrowers during the crisis. However, we also document a sharp decline in the tri-party repo funding of Lehman in September 2008.
|Date of creation:||2011|
|Date of revision:||01 Aug 2014|
|Note:||For a published version of this report, see Adam Copeland, Antoine Martin, and Michael Walker, "Repo Runs: Evidence from the Tri-Party Repo Market," Journal of Finance 69, no. 6 (December 2014): 2343-80.|
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References listed on IDEAS
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- Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2014.
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- Antoine Martin & David Skeie & Ernst-Ludwig von Thadden, 2014. "Repo Runs," Review of Financial Studies, Society for Financial Studies, vol. 27(4), pages 957-989.
- Martin, A. & Skeie, D. & von Thadden, E.L., 2010. "Repo Runs," Discussion Paper 2010-44S, Tilburg University, Center for Economic Research.
- Antoine Martin & David R. Skeie & Ernst-Ludwig Von Thadden, 2010. "Repo runs," Staff Reports 444, Federal Reserve Bank of New York.
- Antoine Martin & David Skeie & Ernst-Ludig von Thadden, 2011. "Repo Runs," FMG Discussion Papers dp687, Financial Markets Group.
- Martin, Antoine & Skeie, David & Thadden, Ernst-Ludwig von, 2013. "Repo Runs," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 448, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Kenneth D. Garbade, 2006. "The evolution of repo contracting conventions in the 1980s," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 27-42.
- Adam Copeland & Antoine Martin & Michael Walker, 2010. "The tri-party repo market before the 2010 reforms," Staff Reports 477, Federal Reserve Bank of New York. Full references (including those not matched with items on IDEAS)
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