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Online Appendix to "A theory of repurchase agreements, collateral re-use, and repo intermediation"

Author

Listed:
  • Piero Gottardi

    (University of Venice)

  • Vincent Maurin

    (Stockholm School of Economics)

  • Cyril Monnet

    (University of Bern)

Abstract

Online appendix for the Review of Economic Dynamics article

Suggested Citation

  • Piero Gottardi & Vincent Maurin & Cyril Monnet, 2019. "Online Appendix to "A theory of repurchase agreements, collateral re-use, and repo intermediation"," Online Appendices 18-284, Review of Economic Dynamics.
  • Handle: RePEc:red:append:18-284
    Note: The original article was published in the Review of Economic Dynamics
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    File URL: https://www.economicdynamics.org/appendix/18/18-284/18-284.pdf
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    References listed on IDEAS

    as
    1. Aloisio Araújo & Jaime Orrillo & Mario R. Páscoa, 2000. "Equilibrium with Default and Endogenous Collateral," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 1-21, January.
    2. Shengxing Zhang, 2014. "Collateral Risk, Repo Rollover and Shadow Banking," 2014 Meeting Papers 562, Society for Economic Dynamics.
    3. Bottazzi, Jean-Marc & Luque, Jaime & Páscoa, Mário R., 2012. "Securities market theory: Possession, repo and rehypothecation," Journal of Economic Theory, Elsevier, vol. 147(2), pages 477-500.
    4. Andolfatto, David & Martin, Fernando M. & Zhang, Shengxing, 2017. "Rehypothecation and liquidity," European Economic Review, Elsevier, vol. 100(C), pages 488-505.
    5. Piero Gottardi & Felix Kubler, 2015. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Review of Economic Studies, Oxford University Press, vol. 82(3), pages 1119-1153.
    6. Florian Madison, 2016. "Asymmetric information in frictional markets for liquidity: collateralized credit vs asset sale," ECON - Working Papers 220, Department of Economics - University of Zurich, revised Nov 2020.
    7. Saki Bigio, 2015. "Endogenous Liquidity and the Business Cycle," American Economic Review, American Economic Association, vol. 105(6), pages 1883-1927, June.
    8. Gaetano Antinolfi & Francesca Carapella & Charles Kahn & Antoine Martin & David Mills & Ed Nosal, 2015. "Repos, Fire Sales, and Bankruptcy Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(1), pages 21-31, January.
    9. Pradeep Dubey & John Geanakoplos & Martin Shubik, 2005. "Default and Punishment in General Equilibrium," Econometrica, Econometric Society, vol. 73(1), pages 1-37, January.
    10. Viktoria Baklanova & Adam Copeland & Rebecca McCaughrin, 2015. "Reference Guide to U.S. Repo and Securities Lending Markets," Working Papers 15-17, Office of Financial Research, US Department of the Treasury.
    11. Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa, 2012. "Securities market theory: Possession, repo and rehypothecation," Post-Print hal-01648216, HAL.
    12. Borghan Nezami Narajabad & Cyril Monnet, 2012. "Why Rent When You Can Buy? A Theory of Repurchase Agreements," 2012 Meeting Papers 647, Society for Economic Dynamics.
    13. Andrea L. Eisfeldt & Adriano A. Rampini, 2009. "Leasing, Ability to Repossess, and Debt Capacity," Review of Financial Studies, Society for Financial Studies, vol. 22(4), pages 1621-1657, April.
    14. Lucas Marc Fuhrer & Basil Guggenheim & Silvio Schumacher, 2016. "Re‐Use of Collateral in the Repo Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1169-1193, September.
    15. Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa, 2012. "Securities market theory: Possession, repo and rehypothecation," PSE-Ecole d'économie de Paris (Postprint) hal-01648216, HAL.
    16. Hajime Tomura, 2016. "Investment Horizon and Repo in the Over‐the‐Counter Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(1), pages 145-164, February.
    17. Gorton, Gary & Metrick, Andrew, 2012. "Securitized banking and the run on repo," Journal of Financial Economics, Elsevier, vol. 104(3), pages 425-451.
    18. Adam Copeland & Antoine Martin & Michael Walker, 2014. "Repo Runs: Evidence from the Tri-Party Repo Market," Journal of Finance, American Finance Association, vol. 69(6), pages 2343-2380, December.
    19. Lagos, Ricardo, 2010. "Asset prices and liquidity in an exchange economy," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
    20. Viral V. Acharya & T. Sabri Öncü, 2013. "A Proposal for the Resolution of Systemically Important Assets and Liabilities: The Case of the Repo Market," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 291-351, January.
    21. Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa, 2012. "Securities market theory: Possession, repo and rehypothecation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01648216, HAL.
    22. Michael J. Fleming & Kenneth D. Garbade, 2005. "Explaining settlement fails," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Sep).
    23. Peter DeMarzo & Darrell Duffie, 1999. "A Liquidity-Based Model of Security Design," Econometrica, Econometric Society, vol. 67(1), pages 65-100, January.
    24. Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2012. "Securities market theory: Possession, repo and rehypothecation," Post-Print hal-00665629, HAL.
    25. Duffie, Darrell, 1996. "Special Repo Rates," Journal of Finance, American Finance Association, vol. 51(2), pages 493-526, June.
    26. 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.
    27. Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2012. "Securities market theory: Possession, repo and rehypothecation," PSE-Ecole d'économie de Paris (Postprint) hal-00665629, HAL.
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    Cited by:

    1. Feixue Gong & Gregory Phelan, 2020. "Debt collateralization, capital structure, and maximal leverage," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 579-605, September.
    2. Grilli, Ruggero & Giri, Federico & Gallegati, Mauro, 2020. "Collateral rehypothecation, safe asset scarcity, and unconventional monetary policy," Economic Modelling, Elsevier, vol. 91(C), pages 633-645.
    3. Viktoria Baklanova & Cecilia Caglio & Marco Cipriani & Adam Copeland, 2019. "The Use of Collateral in Bilateral Repurchase and Securities Lending Agreements," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 228-249, July.
    4. Yu Awaya & Hiroki Fukai & Makoto Watanabe, 2021. "A Model Of Collateral: Endogenizing The Borrowing Constraint," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(3), pages 1131-1151, August.
    5. Fukai, Hiroki, 2021. "Optimal interventions on strategic fails in repo markets," MPRA Paper 106090, University Library of Munich, Germany.
    6. Benjamin Lester & Pierre-Olivier Weill & Ariel Zetlin-Jones, 2019. "RED Special Issue on Fragmented Financial Markets: An Introduction," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 1-3, July.
    7. Sebastian Infante & Zack Saravay, 2020. "What Drives U.S. Treasury Re-use?," Finance and Economics Discussion Series 2020-103r1, Board of Governors of the Federal Reserve System (U.S.), revised 24 Aug 2021.
    8. Park, Hyejin, 2021. "Collateral reuse, collateral mismatch, and financial crises," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 367-380.

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    More about this item

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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