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The Euro Interbank Repo Market

  • Mancini, Loreano

    ()

  • Ranaldo, Angelo

    ()

  • Wrampelmeyer, Jan

    ()

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the market is resilient during crisis episodes and may even act as a shock absorber, in the sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison across different repo markets shows that anonymous CCP-based trading, safe collateral, and the absence of an unwind mechanism are the key characteristics to ensure market resilience.

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File URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1316.pdf
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Paper provided by University of St. Gallen, School of Finance in its series Working Papers on Finance with number 1316.

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Length: 42 pages
Date of creation: Sep 2013
Date of revision: Sep 2015
Handle: RePEc:usg:sfwpfi:2013:16
Contact details of provider: Phone: +41 71 243 40 11
Fax: +41 71 243 40 40
Web page: http://www.unisg.ch/de/universitaet/schools/finance

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  22. 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.
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