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Bankruptcy Exemption of Repo Markets : Too Much Today for Too Little Tomorrow?
Acharya, Viral V.; Anshuman, V. Ravi; Viswanathan, S. - National Bureau of Economic Research - 2024
aggregate risk …
Persistent link: https://www.econbiz.de/10014468227
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Securitized Banking and the Run on Repo
Gorton, Gary B. - 2009
markets that had no connection to housing. We find that changes in the "LIB-OIS" spread, a proxy for counterparty risk, was …
Persistent link: https://www.econbiz.de/10012463426
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Identifying Shocks to Systematic Risk in Times of Crisis
Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024
We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal … different, the risk dynamics share remarkably common features: PC1 shocks come solely from asset volatility, while PC2 shocks …, we provide novel identification of risk dynamics by linking these changes to news about the virus and epidemiological …
Persistent link: https://www.econbiz.de/10014635656
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The Federal Funds Market, Pre- and Post-2008
Swanson, Eric T. - National Bureau of Economic Research - 2022
This chapter provides an overview of the federal funds market and how the equilibrium federal fund rate is determined. I devote particular attention to comparing and contrasting the federal funds market before and after 2008, since there were several dramatic changes around that time that...
Persistent link: https://www.econbiz.de/10012938731
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Balance Sheet Adjustments in the 2008 Crisis
He, Zhiguo - 2010
We measure how securitized assets, including mortgage-backed securities and other asset-backed securities, have shifted across financial institutions over this crisis and how the availability of financing has accommodated such shifts. Sectors dependent on repo financing - in particular, the...
Persistent link: https://www.econbiz.de/10012462732
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Information, Liquidity, and the (Ongoing) Panic of 2007
Gorton, Gary B. - 2009
problems that led to illiquidity in the repo markets, and the extent of the demand for protection against subprime risk …
Persistent link: https://www.econbiz.de/10012464000
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Central Bank Swap Arrangements in the COVID-19 Crisis
Aizenman, Joshua; Itō, Hiro; Pasricha, Gurnain Kaur - National Bureau of Economic Research - 2021
Facing acute strains in the offshore dollar funding markets during the COVID-19 crisis, the Federal Reserve (Fed) implemented measures to provide US dollar liquidity by reinforcing swap arrangements with five major central banks, reactivating them with nine other central banks and establishing a...
Persistent link: https://www.econbiz.de/10012496139
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The Run on Repo and the Fed's Response
Gorton, Gary - 2018
The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase ("repo") market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo...
Persistent link: https://www.econbiz.de/10012452855
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Who Ran on Repo?
Gorton, Gary B. - 2012
The sale and repurchase (repo) market played a central role in the recent financial crisis. From the second quarter of 2007 to the first quarter of 2009, net repo financing provided to U.S. banks and broker-dealers fell by about $1.3 trillion - more than half of its pre-crisis total. Significant...
Persistent link: https://www.econbiz.de/10012460205
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Sizing Up Repo
Krishnamurthy, Arvind - 2012
We measure the repo funding extended by money market funds (MMF) and securities lenders to the shadow banking system, including quantities, haircuts, and repo rates by type of underlying collateral. We find that repo played only a small role in funding private sector assets prior to the crisis,...
Persistent link: https://www.econbiz.de/10012460892