Repo runs: : evidence from the tri-party repo market

• Autores: Adam Copeland, Antoine Martin, Michael Walker
• Localización: The Journal of finance, ISSN 0022-1082, Vol. 69, Nº 6, 2014, págs. 2343-2380
• Idioma: inglés
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• Resumen

  • The repo market has been viewed as a potential source of financial instability since the 2007 to 2009 financial crisis, based in part on findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that there was no system-wide run on repo. 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.