Repo Runs: Evidence from the Tri-Party Repo Market

39 Pages Posted: 10 Aug 2011 Last revised: 18 Sep 2012

See all articles by Adam M. Copeland

Adam M. Copeland

Federal Reserve Bank of New York

Antoine Martin

Federal Reserve Bank of New York - Research and Statistics

Michael Walker

Federal Reserve Banks - Federal Reserve Bank of New York

Date Written: July 1, 2011

Abstract

This paper provides a quantitative account of the tri-party repo market during the recent financial crisis. Using data from July 2008 to January 2010, we show that the level of haircuts and the amount of funding were surprisingly stable in this market. The stability of the haircuts contrasts with evidence from the bilateral repo market, where, as shown by Gorton and Metrick (2011), haircuts increased sharply. During the crisis, adjustments in the volume of funding to dealers were not gradual; instead, the amount of funding in the tri-party repo market can decrease precipitously. Our findings suggest that runs in the tri-party repo market resemble traditional bank runs.

Keywords: tri-party repo, wholesale funding, short-term funding

JEL Classification: E44, E58, G24

Suggested Citation

Copeland, Adam M. and Martin, Antoine and Walker, Michael, Repo Runs: Evidence from the Tri-Party Repo Market (July 1, 2011). FRB of New York Staff Report No. 506, Available at SSRN: https://ssrn.com/abstract=1906766 or http://dx.doi.org/10.2139/ssrn.1906766

Adam M. Copeland (Contact Author)

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Antoine Martin

Federal Reserve Bank of New York - Research and Statistics ( email )

33 Liberty Street
New York, NY 10045
United States
212-720-6943 (Phone)

Michael Walker

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

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