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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Discussion Paper ; No. 2012-4
- Klassifikation
-
Wirtschaft
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
- Thema
-
Payment, clearing, and settlement systems
Financial markets
Financial stability
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Tomura, Hajime
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2012
- DOI
-
doi:10.34989/sdp-2012-4
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Tomura, Hajime
- Bank of Canada
Entstanden
- 2012
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