| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16439 |
| DP16439 Safe asset shortage and collateral reuse | |
| Stephan Jank; Emanuel Moench; Michael Schneider | |
| 发表日期 | 2022-06-27 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | The reuse of collateral can support the efficient allocation of safe assets in the financial system. Exploiting a novel dataset, we show that banks substantially increase their reuse of sovereign bonds in response to scarcity induced by Eurosystem asset purchases. While repo rates react little to purchase-induced scarcity when reuse is low, they become increasingly sensitive at high levels of reuse. An elevated reuse rate is also associated with more failures to deliver and a higher volatility of repo rates in the cross-section of bonds. Our results highlight the trade-off between shock absorption and shock amplification effects of collateral reuse. |
| 主题 | Financial Economics |
| 关键词 | Safe assets Government bonds Collateral reuse Rehypothecation Repo market Securities lending |
| URL | https://cepr.org/publications/dp16439-0 |
| 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/546482 |
| 推荐引用方式 GB/T 7714 | Stephan Jank,Emanuel Moench,Michael Schneider. DP16439 Safe asset shortage and collateral reuse. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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