Internet Appendix for 'The Euro Interbank Repo Market'

28 Pages Posted: 17 Dec 2013 Last revised: 30 Jul 2015

See all articles by Loriano Mancini

Loriano Mancini

USI Lugano - Institute of Finance; Swiss Finance Institute

Angelo Ranaldo

University of St. Gallen; University of St. Gallen - School of Finance

Jan Wrampelmeyer

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Date Written: July 30, 2015

Abstract

This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2015) by presenting additional analyses and robustness checks. It also describes the procedure to construct proxies for the volume-weighted average haircuts applied by the ECB and Eurex Repo.

The paper "The Euro Interbank Repo Market" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2331355

Keywords: Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy

JEL Classification: E43, E58, G01, G12, G21, G28

Suggested Citation

Mancini, Loriano and Ranaldo, Angelo and Wrampelmeyer, Jan, Internet Appendix for 'The Euro Interbank Repo Market' (July 30, 2015). Available at SSRN: https://ssrn.com/abstract=2368158 or http://dx.doi.org/10.2139/ssrn.2368158

Loriano Mancini

USI Lugano - Institute of Finance ( email )

Via Giuseppe Buffi 6
6904 Lugano, CH-6904
Switzerland
+41 (0)91 912 46 47 (Fax)

HOME PAGE: http://www.people.usi.ch/mancil/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Angelo Ranaldo

University of St. Gallen ( email )

Swiss Institute of Banking and Finance s/bf-HSG
Unterer Graben 21
St. Gallen, 9000
Switzerland
+41712247010 (Phone)

HOME PAGE: http://www.sbf.unisg.ch/Lehrstuehle/Lehrstuhl_Ranaldo/Homepage_Ranaldo.aspx

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

Jan Wrampelmeyer (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

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