Developments in Repo Markets During the Financial Turmoil

BIS Quarterly, December 2008

17 Pages Posted: 21 Jul 2012

See all articles by Peter Hördahl

Peter Hördahl

Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific

Michael R. King

Ivey Business School

Date Written: December 8, 2008

Abstract

As the financial crisis deepened and unsecured interbank markets effectively shut down, repo market activity became increasingly concentrated in the very shortest maturities and against the highest-quality collateral. Repo rates for US Treasury collateral fell relative to overnight index swap rates, while comparable sovereign repo rates in the euro area and the United Kingdom rose. The different dynamics across markets reflected, among other things, differences in the intensity of market disruptions and the extent of the scarcity of sovereign collateral.

Keywords: Repo markets, financial crisis, OIS, collateral

JEL Classification: E43, E58, G12

Suggested Citation

Hoerdahl, Peter and King, Michael Robert, Developments in Repo Markets During the Financial Turmoil (December 8, 2008). BIS Quarterly, December 2008. Available at SSRN: https://ssrn.com/abstract=1329903

Peter Hoerdahl

Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific ( email )

78th floor, Two International Finance Centre
8 Finance Street, Central
Hong Kong

Michael Robert King (Contact Author)

Ivey Business School ( email )

Western University
1255 Western Road
London, Ontario N6G 0N1
Canada
519 661 3084 (Phone)

HOME PAGE: http://www.ivey.uwo.ca/faculty/directory/michael-king/

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