| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13090 |
| DP13090 Repo market functioning: The role of capital regulation | |
| Neeltje van Horen | |
| 发表日期 | 2018-07-30 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper shows that the leverage ratio affects repo intermediation for banks and non-bank financial institutions. We exploit a novel regulatory change in the UK to identify an exogenous intensification of the leverage ratio and combine this with supervisory transaction-level data capturing the near-universe of gilt repo trading. Studying adjustments at the dealer-client level and controlling for demand and confounding factors, we find that dealers subject to a more binding leverage ratio reduced liquidity in the repo market. This affected their small but not their large clients. We further document a reduction in frequency of transactions and a worsening of repo pricing, but no adjustment in haircuts or maturities. Finally, we find evidence of market resilience, based on existing, rather than new repo relationships, with foreign, non-constrained dealers stepping in. Overall, our findings help shed light on the impact of Basel III capital regulation on repo markets. |
| 主题 | Financial Economics |
| 关键词 | Capital regulation Leverage ratio Repo market Non-bank financial institutions |
| URL | https://cepr.org/publications/dp13090 |
| 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/541895 |
| 推荐引用方式 GB/T 7714 | Neeltje van Horen. DP13090 Repo market functioning: The role of capital regulation. 2018. |
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