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Persistent link: https://www.econbiz.de/10013192725
captures three effects: (1) the effectiveness of the haircut policy, (2) CCP member default risk (conditional on sovereign … default) and (3) CCP default risk (conditional on both sovereign and CCP member default). The data show that, during the … sovereign debt crisis of 2011, repo rates strongly respond to movements in sovereign risk, in particular for GIIPS countries …
Persistent link: https://www.econbiz.de/10011974873