repurchase agreements (repos) endogenously. If cash investors buy bonds to store their cash, then they suffer an endogenous bond …-liquidation cost because they must sell their bonds before the scheduled times of their cash payments. This cost provides incentive for …This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange …

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

three events - the collapse of the US housing market, the breakdown of the repo money market, and the banking crash - are … financial institutions not relied that heavily on short-term funding backed by US housing collateral, they might have been able …

This paper introduces a methodology to estimate the re-use of collateral based on actual transaction data. With a … comprehensive dataset from the Swiss franc repo market we are able to provide the first systematic empirical study on the re-use of … collateral. We find that re-use was most popular prior to the financial crisis, when roughly 10% of the outstanding interbank …

Superintendent of Financial Institutions, which allows us to run simulations of bank valuations and asset prices under a set of …