Repo Runs

Arbeitspapier

The recent financial crisis has shown that short-term collateralized borrowing may be a highly unstable source of funds in times of stress. The present paper develops a dynamic equilibrium model and analyzes under what conditions such instability can be a consequence of market-wide changes in expectations. We derive a liquidity constraint and a collateral constraint that determine whether such expectations-driven runs are possible and show that they depend crucially on the microstructure of particular funding markets that we examine in detail. In particular, our model provides insights into the differences between the tri-party repo market and the bilateral repo market, which were both at the heart of the recent financial crisis.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB/TR 15 Discussion Paper ; No. 448

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Markets and the Macroeconomy ; Central Banks and Their Policies ; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
• Thema: Investment banking ; repurchase agreements ; tri-party repo ; bilateral repo ; money market mutual funds ; asset-backed commercial paper ; bank runs

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Martin, Antoine ; Skeie, David ; von Thadden, Ernst-Ludwig
• Ereignis: Veröffentlichung
• (wer): Sonderforschungsbereich/Transregio 15 - Governance and the Efficiency of Economic Systems (GESY)
• (wo): München
• (wann): 2013

Weitere Informationen

• DOI: doi:10.5282/ubm/epub.17414
• Handle: http://hdl.handle.net/10419/93817
• URN: urn:nbn:de:bvb:19-epub-17414-0
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ