Repo markets, counterparty risk and the 2007/2008 liquidity crisis

A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an important innovation, we allow for two-sided counterparty risk. Our findings relate to empirical characteristics of repo transactions and have an immediate bearing on market developments since August 2007.

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Year of publication:	2008
Authors:	Ewerhart, Christian ; Tapking, Jens
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	Geldmarkt \| Handelsvolumen der Börse \| Risikomanagement \| Repo-Geschäft \| Bankenliquidität \| Theorie \| Welt \| collateral \| Counterparty risk \| haircuts \| liquidity \| repurchase agreements

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Series:	ECB Working Paper ; 909
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	587719206 [GVK] hdl:10419/153343 [Handle] RePEc:ecb:ecbwps:20080909 [RePEc]
Classification:	G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure ; E51 - Money Supply; Credit; Money Multipliers
Source:	EconStor

Persistent link: https://www.econbiz.de/10011604955