The euro interbank repo market

• Autores: Loriano Mancini, Angelo Ranaldo, Jan Wrampelmeyer
• Localización: Review of Financial Studies, ISSN-e 1465-7368, Vol. 29, Nº. 7, 2016, págs. 1747-1779
• Idioma: inglés
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• Resumen

  • 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.