Arbeitspapier
A note on central counterparties in repo markets
The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market. In another equilibrium, the repo market collapses due to aggregate cash shortage for dealers. Introducing a CCP into the repo market blocks the latter equilibrium. This stabilizing effect of a CCP is robust to idiosyncratic default risk of dealers and asymmetric information about the risk.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Discussion Paper ; No. 2012-4
- Classification
-
Wirtschaft
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
- Subject
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Payment, clearing, and settlement systems
Financial markets
Financial stability
- Event
-
Geistige Schöpfung
- (who)
-
Tomura, Hajime
- Event
-
Veröffentlichung
- (who)
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Bank of Canada
- (where)
-
Ottawa
- (when)
-
2012
- DOI
-
doi:10.34989/sdp-2012-4
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Tomura, Hajime
- Bank of Canada
Time of origin
- 2012
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