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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Liquidity in the Repo Market |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of International Money and Finance |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0261-5606 |
| Volume | 84 |
| Page Range | 1 - 22 |
| Date | 2018 |
| Abstract Text | This paper examines liquidity in the Swiss franc repurchase (repo) market and assesses its determinants using a proprietary dataset ranging from 2006 to 2016. I find that repo market liquidity has a distinct intraday pattern, with low liquidity in early and late trading hours. Moreover, repo market liquidity is negatively affected by stress in the global financial system and the end of the minimum reserve requirement period if central bank reserves are scarce. Furthermore, I show that with excess central bank reserves in the financial system, quoted volumes in the interbank market get imbalanced towards more cash provider relative to cash taker quotes and the trading volume declines. By estimating liquidity in an interbank repo market and explaining its drivers, this paper contributes to the ongoing debate on repo market functioning. |
| Related URLs | |
| Digital Object Identifier | 10.1016/j.jimonfin.2018.02.005 |
| Other Identification Number | merlin-id:15906 |
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| Keywords | Economics and Econometrics, Finance |