Window dressing of regulatory metrics: Evidence from repo markets

Arbeitspapier

This paper investigates both the magnitude and the drivers of bank window dressing behaviour in euro-denominated repo markets. Using a confidential transaction-level data set, our analysis illustrates that banks engineer an economically sizeable contraction in their repo transactions around regulatory reporting dates. We establish a causal link between these reductions and banks' incentives to window dress and document the role of the leverage ratio and the G-SIB framework as the most relevant drivers of window dressing behaviour. Our findings suggest that regulatory action is warranted to limit banks' ability to window dress.

Object Details

• ISBN: 978-92-899-5513-3
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2771

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Information and Market Efficiency; Event Studies; Insider Trading ; General Financial Markets: Government Policy and Regulation ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation
• Subject: banking regulation ; window dressing ; repo markets ; leverage ratio ; G-SIBs

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bassi, Claudio ; Behn, Markus ; Grill, Michael ; Waibel, Martin
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2023

Further information

• DOI: doi:10.2866/79000
• Handle: http://hdl.handle.net/10419/278342
• Last update: 10.03.2025, 11:43 AM CET