Watanabe, Makoto; Arbuzov, Vyacheslav; Awaya, Yu; … - 2019
This paper presents a simple and tractable equilibrium model of repos, where collateralized credit emerges under … over time. In our theory, repo market fragilities are associated with endogenous fluctuations in trade probabilities … recession and the highest right after the recession, and that secured credit is acyclical. …