The euro interbank repo market

Loriano Mancini, Angelo Ranaldo*, Jan Wrampelmeyer

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)1747-1779
Number of pages33
JournalThe Review of Financial Studies
Volume29
Issue number7
DOIs
Publication statusPublished - 2016

Fingerprint Dive into the research topics of 'The euro interbank repo market'. Together they form a unique fingerprint.

Cite this