FRIC/Finance Seminar with Angelo Ranaldo, University of St. Gallen

Upcoming FRIC/Finance Seminar with Angelo Ranaldo, University of St. Gallen

Fredag, 4 april, 2014 - 11:00 to 12:15

FRIC Center for Financial Frictions and the Department of Finance are proud to announce the upcoming seminar with Angelo Ranaldo, University of St. Gallen.

Angelo Ranaldo will present:

The Euro Interbank Repo Market

 

Authors:

Loriano Mancini, Swiss Finance Institute and EPFL
Angelo Ranaldo, University of St. Gallen
Jan Wrampelmeyer, University of St. Gallen

Abstract:

Using a novel and comprehensive data set, we provide the first systematic study of the euro interbank repo market. We describe its unique infrastructure and the evolution of market activity from 2006 to 2013. In contrast to other repo markets, we find that the central counterparty-based segment, where the majority of interbank repos are traded, is resilient during crisis episodes and even acts as a shock absorber. This suggests that banks use central counterparty-based repos as a means of liquidity hoarding. By comparing different repo contracts we identify anonymous trading via a central counterparty and reliance on safe collateral as the key characteristics that render the market resilient.

 

Location

Solbjerg Plads 3, 2000 Frederiksberg

SPs03

Sidst opdateret: Center for Financial Frictions // 20/07/2018