Repo runs


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



URL: https://ideas.repec.org/p/fmg/fmgdps/dp687.html
Additional URL: https://www.econbiz.de/Record/repo-runs-martin-ant...
Document Type: Working paper
Year of publication: 2011
The title of a journal, publication series: FMG Discussion Papers
Volume: 687
Place of publication: London
Publishing house: LSE Financial Markets Group
ISSN: 0956-8549
Publication language: English
Institution: School of Law and Economics > VWL, Mikroökonomische Theorie (von Thadden)
Subject: 330 Economics
Abstract: This paper develops a dynamic model of financial institutions that borrow short-term and invest into long-term marketable assets. Because such intermediaries performmaturity transformation, they are subject to potential runs. We derive distinct liquidity and collateral constraints that characterize the fragility of such institutions as a result of changing market expectations. The liquidity constraint depends on the intermediary’s endogenous liquidity position that acts as a buffer against runs. The collateral constraint depends crucially on the microstructure of particular funding markets that we examine in detail. In particular, our model provides insights into the fragility and differences of the tri-party repo market and the bilateral repo market that were 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 (2011) Repo runs. FMG Discussion Papers London 687 [Working paper]


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