| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8795 |
| DP8795 Sizing Up Repo | |
| Arvind Krishnamurthy; Stefan Nagel | |
| 发表日期 | 2012-02-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | 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, as most repos are backed by Treasury and Agency collateral. Repo with private sector collateral contracts during the crisis, but the magnitude is relatively insignificant compared with the contraction in asset-backed commercial paper (ABCP). While relatively small in aggregate, the contraction in repo particularly affected key dealer banks with large exposures to private sector securities, which then had knock-on effects on security markets, and led these dealer banks to resort to the Fed's emergency lending programs. We also find that haircuts in MMF-to-dealer repo rise less than the dealer-to-dealer or dealer-to-hedge fund repo haircuts reported in earlier papers. This finding suggests that the contraction in repo led dealers to take defensive actions, given their own capital and liquidity problems, raising credit terms to their borrowers. The picture that emerges from these findings looks less like a traditional bank run of depositors and more like a credit crunch among dealer banks. |
| 主题 | Financial Economics |
| 关键词 | Dealer banks Financial crisis Repurchase agreements Shadow banking |
| URL | https://cepr.org/publications/dp8795 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537637 |
| 推荐引用方式 GB/T 7714 | Arvind Krishnamurthy,Stefan Nagel. DP8795 Sizing Up Repo. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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