Arbeitspapier
Repo markets, counterparty risk and the 2007/2008 liquidity crisis
A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an important innovation, we allow for two-sided counterparty risk. Our findings relate to empirical characteristics of repo transactions and have an immediate bearing on market developments since August 2007.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 909
- Classification
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Money Supply; Credit; Money Multipliers
- Subject
-
collateral
Counterparty risk
haircuts
liquidity
repurchase agreements
Geldmarkt
Handelsvolumen der Börse
Risikomanagement
Repo-Geschäft
Bankenliquidität
Theorie
Welt
- Event
-
Geistige Schöpfung
- (who)
-
Ewerhart, Christian
Tapking, Jens
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2008
- 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
- Ewerhart, Christian
- Tapking, Jens
- European Central Bank (ECB)
Time of origin
- 2008
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