Arbeitspapier
A Theory of Repurchase Agreements, Collateral Re-use, and Repo Intermediation
We show that repurchase agreements (repos) arise as the instrument of choice to borrow in a competitive model with limited commitment. The repo contract traded in equilibrium provides insurance against fluctuations in the asset price in states where collateral value is high and maximizes borrowing capacity when it is low. Haircuts increase both with counterparty risk and asset risk. In equilibrium, lenders choose to re-use collateral. This increases the circulation of the asset and generates a "collateral multiplier" effect. Finally, we show that intermediation by dealers may endogenously arise in equilibrium, with chains of repos among traders.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 6579
- Klassifikation
-
Wirtschaft
General Financial Markets: Other
- Thema
-
repos
collateral multiplier
limited commitment
intermediation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gottardi, Piero
Maurin, Vincent
Monnet, Cyril
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2017
- 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
- Gottardi, Piero
- Maurin, Vincent
- Monnet, Cyril
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2017
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