The euro interbank repo market

Loriano Mancini, Angelo Ranaldo, Jan Wrampelmeyer

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
JournalReview of Financial Studies
Volume29
Issue number7
DOIs
Publication statusPublished - 2016

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Interbank market
Funding
Maturity
Agenda
Lending
Resilience
Market design

Cite this

Mancini, Loriano ; Ranaldo, Angelo ; Wrampelmeyer, Jan. / The euro interbank repo market. In: Review of Financial Studies. 2016 ; Vol. 29, No. 7. pp. 1747-1779.
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The euro interbank repo market. / Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan.

In: Review of Financial Studies, Vol. 29, No. 7, 2016, p. 1747-1779.

Research output: Contribution to JournalArticleAcademicpeer-review

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