Hüser, Anne-Caroline; Lepore, Caterina; Veraart, Luitgard - 2021
We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction …-level data of the overnight gilt repo market including the COVID-19 crisis. During this crisis, the repo network becomes more … the repo volumes and spreads during the stress relative to normal times. We find a significant increase in volumes traded …