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来源类型Working Paper
规范类型报告
DOI10.3386/w24866
来源IDWorking Paper 24866
The Run on Repo and the Fed's Response
Gary Gorton; Toomas Laarits; Andrew Metrick
发表日期2018-07-30
出版年2018
语种英语
摘要The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase (“repo”) market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo runs, because detailed data on repo quantities is not available. We provide quantity evidence of the run on repo through an examination of the collateral brought to emergency liquidity facilities of the Federal Reserve. We show that the magnitude of repo discounts (“haircuts”) on specific collateral is related to the likelihood of that collateral being brought to Fed facilities.
主题Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics
URLhttps://www.nber.org/papers/w24866
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/582540
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Gary Gorton,Toomas Laarits,Andrew Metrick. The Run on Repo and the Fed's Response. 2018.
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