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Contribution Details

Type Master Thesis
Scope Discipline-based scholarship
Title Repo Funding Market: Is there a Run from Money Market Funds?
Organization Unit
Authors
  • Konstantinos Baziotis
Supervisors
  • Jean-Charles Rochet
  • Nataliya Klimenko
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Date December 2016
Abstract Text The short-term debt markets have been believed to be in the epicenter of the financial crisis of 2007-2008. The repurchase agreement market is one of the biggest short-term debt markets. By analyzing data from 57'783 repurchase agreement transactions between 2003 and 2015, I do not find evidence of a "run" on the repo market apart from a contraction of private asset-backed securities and corporate debt used as collateral. Although haircuts and notional amounts of repo funding did not show any signs of distress, the sharp contraction of the use of specific asset classes as collateral may have severely impacted the shadow banking system. The hypothesis, however, that there was a systemic run on the repo market in the context of soaring haircut margins and sharp decline of cash offered, cannot be supported by this study.
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