Euro Repo Market Functioning: Collateral is King

14 Pages Posted: 17 Dec 2019

See all articles by Patrick Schaffner

Patrick Schaffner

University of St. Gallen - School of Finance

Angelo Ranaldo

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

Kostas Tsatsaronis

Bank for International Settlements (BIS) - Monetary and Economic Department

Date Written: December 8, 2019

Abstract

Repo markets play a major role in redistributing liquidity and collateral between financial institutions. A unique transaction-level database reveals how the euro-denominated repo market has performed since the mid-2000s. We find that the market recovered strongly from periods of intense stress, even though it remains segmented according to the home country of the collateral used. In recent years, signs of segmentation have increased as the main motivation of repo market participants has shifted from funding to the trading of collateral.

JEL Classification: E40, E58, G15, G23

Suggested Citation

Schaffner, Patrick and Ranaldo, Angelo and Tsatsaronis, Konstantinos, Euro Repo Market Functioning: Collateral is King (December 8, 2019). BIS Quarterly Review, December 2019, Available at SSRN: https://ssrn.com/abstract=3502893

Patrick Schaffner (Contact Author)

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

Unterer Graben 21
St.Gallen, CH-9000
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

Konstantinos Tsatsaronis

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland
(41 61) 280 8082 (Phone)
(41 61) 280 9100 (Fax)

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