Repo runs


Martin, Antoine ; Skeie, David ; Thadden, Ernst-Ludwig von



URL: https://ideas.repec.org/p/fip/fednsr/444.html
Additional URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
Document Type: Working paper
Year of publication: 2010
The title of a journal, publication series: Staff Reports / Federal Reserve Bank of New York
Volume: 444
Place of publication: New York, NY
Publishing house: Federal Reserve Bank of New York
Publication language: English
Institution: School of Law and Economics > VWL, Mikroökonomische Theorie (von Thadden)
Subject: 330 Economics
Abstract: The recent financial crisis has shown that short-term collateralized borrowing may be highly unstable in times of stress. The present paper develops a dynamic equilibrium model and shows that this instability can be a consequence of market-wide changes in expectations, but does not have to be. 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.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Martin, Antoine ; Skeie, David ; Thadden, Ernst-Ludwig von (2010) Repo runs. Staff Reports / Federal Reserve Bank of New York New York, NY 444 [Working paper]


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