Re-use of collateral in the repo market
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- 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.
References listed on IDEAS
- 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.
- Jean Marc Bottazzi & Jaime Luque & Mario Pascoa, 2011. "Securities market theory: possession, repo and rehypothecation," 2011 Meeting Papers 1214, Society for Economic Dynamics.
- Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2012. "Securities market theory: Possession, repo and rehypothecation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00665629, HAL.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
"Market Liquidity and Funding Liquidity,"
Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus K & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Kraenzlin, Sébastien & Nellen, Thomas, 2015.
"Access policy and money market segmentation,"
Journal of Monetary Economics, Elsevier, vol. 71(C), pages 1-12.
- Sébastien Philippe Kraenzlin & Thomas Nellen, 2012. "Access policy and money market segmentation," Working Papers 2012-12, Swiss National Bank.
- James Aitken & Manmohan Singh, 2009. "Deleveraging After Lehman; Evidence From Reduced Rehypothecation," IMF Working Papers 09/42, International Monetary Fund.
- Anouk Levels & Jeannette Capel, 2012. "Is Collateral Becoming Scarce? Evidence for the euro area," DNB Occasional Studies 1001, Netherlands Central Bank, Research Department.
- Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa, 2012. "Securities market theory: Possession, repo and rehypothecation," Post-Print hal-01648216, HAL.
- Zhiguo He & Wei Xiong, 2012.
"Dynamic Debt Runs,"
Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1799-1843.
- Zhiguo He & Wei Xiong, 2009. "Dynamic Debt Runs," NBER Working Papers 15482, National Bureau of Economic Research, Inc.
- Wei Xiong & Zhiguo He, 2011. "Dynamic Debt Runs," 2011 Meeting Papers 902, Society for Economic Dynamics.
- 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.
- Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053, December.
- Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2011.
"The price of liquidity: The effects of market conditions and bank characteristics,"
Journal of Financial Economics, Elsevier, vol. 102(2), pages 344-362.
- Nyborg, Kjell G. & Fecht, Falko & Rocholl, Jörg, 2011. "The price of liquidity: the effects of market conditions and bank characteristics," Working Paper Series 1376, European Central Bank.
- Manmohan Singh, 2011. "Velocity of Pledged Collateral; Analysis and Implications," IMF Working Papers 11/256, International Monetary Fund.
- Gorton, Gary & Metrick, Andrew, 2012.
"Securitized banking and the run on repo,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 425-451.
- Gary Gorton & Andrew Metrick, 2010. "Securitized Banking and the Run on Repo," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Gary B. Gorton & Andrew Metrick, 2009. "Securitized Banking and the Run on Repo," NBER Working Papers 15223, National Bureau of Economic Research, Inc.
- Gary Gorton & Andrew Metrick, 2009. "Securitized Banking and the Run on Repo," Yale School of Management Working Papers amz2358, Yale School of Management, revised 01 Sep 2009.
- 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.
- Adam Copeland & Antoine Martin & Michael Walker, 2011. "Repo runs: evidence from the tri-party repo market," Staff Reports 506, Federal Reserve Bank of New York, revised 01 Aug 2014.
- Ewerhart, Christian & Tapking, Jens, 2008. "Repo markets, counterparty risk and the 2007/2008 liquidity crisis," Working Paper Series 909, European Central Bank.
- Sébastien Kraenzlin, 2007. "The characteristics and development of the Swiss franc repurchase agreement market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(2), pages 241-261, June.
- Sébastien Philippe Kraenzlin & Benedikt von Scarpatetti, 2011. "Bargaining Power in the Repo Market," Working Papers 2011-14, Swiss National Bank.
- Darrell Duffie, 2013. "Replumbing Our Financial System: Uneven Progress," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 251-280, January.
- 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.
- Basil Guggenheim & Sébastien Philippe Kraenzlin & Silvio Schumacher, 2011. "Exploring an uncharted market: Evidence on the unsecured Swiss franc money market," Working Papers 2011-05, Swiss National Bank.
- Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2012. "Securities market theory: Possession, repo and rehypothecation," Post-Print hal-00665629, HAL.
- 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.
- Mancini, Loreano & Ranaldo, Angelo & Wrampelmeyer, Jan, 2013. "The Euro Interbank Repo Market," Working Papers on Finance 1316, University of St. Gallen, School of Finance, revised Sep 2015.
- Peter Hördahl & Michael R King, 2008. "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, December.
- Manmohan Singh & James Aitken, 2010. "The (Sizable) Role of Rehypothecation in the Shadow Banking System," IMF Working Papers 10/172, International Monetary Fund.
- Ulrich Bindseil & Kjell G. Nyborg & Ilya A. Strebulaev, 2009.
"Repo Auctions and the Market for Liquidity,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1391-1421, October.
- Ulrich Bindseil & Kjell G. Nyborg & Ilya A. Strebulaev, 2009. "Repo Auctions and the Market for Liquidity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1391-1421, October.
- 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.
- Gary Gorton & Andrew Metrick, 2010. "Regulating the Shadow Banking System," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(2 (Fall)), pages 261-312.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Ferrari, Massimo & Guagliano, Claudia & Mazzacurati, Julien, 2017. "Collateral scarcity premia in euro area repo markets," ESRB Working Paper Series 55, European Systemic Risk Board.
- Silvio Schumacher, 2016. "Networks and lending conditions: Empirical evidence from the Swiss franc money markets," Working Papers 2016-12, Swiss National Bank.
- Baranova, Yuliya & Liu, Zijun & Noss, Joseph, 2016. "The role of collateral in supporting liquidity," Bank of England working papers 609, Bank of England.
- Piero Gottardi & Vincent Maurin & Cyril Monnet, 2019.
"A theory of repurchase agreements, collateral re-use, and repo intermediation,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 30-56, July.
- Vincent Maurin & Cyril Monnet & Piero Gottardi, 2016. "A Theory of Repurchase Agreement, Collateral Re-use, and Repo Intermediation," 2016 Meeting Papers 417, Society for Economic Dynamics.
- GOTTARDI, Piero; MAURIN, Vincent; MONNET, Cyril, 2017. "A theory of repurchase agreements, collateral re-use, and repo intermediation," Economics Working Papers ECO2017/03, European University Institute.
- 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.
- Piero Gottardi & Vincent Maurin & Cyril Monnet, 2017. "A Theory of Repurchase Agreements, Collateral Re-use, and Repo Intermediation," CESifo Working Paper Series 6579, CESifo.
- 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.
- Fuhrer, Lucas Marc, 2018.
"Liquidity in the repo market,"
Journal of International Money and Finance, Elsevier, vol. 84(C), pages 1-22.
- Lucas Marc Fuhrer, 2017. "Liquidity in the Repo Market," Working Papers 2017-06, Swiss National Bank.
- Bank for International Settlements, 2015. "Central bank operating frameworks and collateral markets," CGFS Papers, Bank for International Settlements, number 53, Autumn.
- Fuhrer, Lucas Marc & Müller, Benjamin & Steiner, Luzian, 2017.
"The Liquidity Coverage Ratio and security prices,"
Journal of Banking & Finance, Elsevier, vol. 75(C), pages 292-311.
- Lucas Marc Fuhrer & Benjamin Müller & Luzian Steiner, 2016. "The Liquidity Coverage Ratio and Security Prices," Working Papers 2016-11, Swiss National Bank.
- Grandia, Roel & Hänling, Petra & Russo, Michelina Lo & Aberg, Pontus, 2019. "Availability of high-quality liquid assets and monetary policy operations: an analysis for the euro area," Occasional Paper Series 218, European Central Bank.
- Ravi Kashyap, 2019. "Concepts, Components and Collections of Trading Strategies and Market Color," Papers 1910.02144, arXiv.org, revised Jan 2020.
- Matteo Accornero, 2020. "Collateral Re-use, Liquidity and Financial Stability," Working Papers 10/20, Sapienza University of Rome, DISS.
More about this item
Keywords
Re-use of collateral; repo; money market; financial stability; Switzerland;JEL classification:
- D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G01 - Financial Economics - - General - - - Financial Crises
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2015-01-31 (Banking)
- NEP-FMK-2015-01-31 (Financial Markets)
- NEP-IAS-2015-01-31 (Insurance Economics)
- NEP-MAC-2015-01-31 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:snb:snbwpa:2015-02. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Enzo Rossi). General contact details of provider: http://edirc.repec.org/data/snbgvch.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.