Sizing up repo

• Autores: Arvind Krishnamurthy, Stefan Nagel, Dmitry Orlov
• Localización: The Journal of finance, ISSN 0022-1082, Vol. 69, Nº 6, 2014, págs. 2381-2417
• Idioma: inglés
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• Resumen

  • To understand which short-term debt markets experienced �runs� during the financial crisis, we analyze a novel data set of repurchase agreements (repo), that is, loans between nonbank cash lenders and dealer banks collateralized with securities. Consistent with a run, repo volume backed by private asset-backed securities falls to near zero in the crisis. However, the reduction is only $182 billion, which is small relative to the stock of private asset-backed securities as well as the contraction in asset-backed commercial paper. While the repo contraction is small in aggregate, it disproportionately affected a few dealer banks.