Repo runs


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



DOI: https://doi.org/10.5282/ubm/epub.17414
URL: https://epub.ub.uni-muenchen.de/17414/1/448.pdf
Additional URL: https://ideas.repec.org/p/trf/wpaper/448.html
Document Type: Working paper
Year of publication: 2013
The title of a journal, publication series: SFB/TR 15 Discussion Paper Series
Volume: 448
Place of publication: Mannheim [u.a.]
Publishing house: Sonderforschungsbereich/Transregio 15
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 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.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Martin, Antoine ; Skeie, David ; Thadden, Ernst-Ludwig von (2013) Repo runs. SFB/TR 15 Discussion Paper Series Mannheim [u.a.] 448 [Working paper]


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