The Run on Repo and the Fed's Response / Gary Gorton, Toomas Laarits, Andrew Metrick.

Format:

Book

Author/Creator:

Gorton, Gary.

Contributor:

National Bureau of Economic Research.

Laarits, Toomas.

Metrick, Andrew.

Series:

Working Paper Series (National Bureau of Economic Research) no. w24866.

NBER working paper series no. w24866

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2018.

Summary:

The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase ("repo") market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo runs, because detailed data on repo quantities is not available. We provide quantity evidence of the run on repo through an examination of the collateral brought to emergency liquidity facilities of the Federal Reserve. We show that the magnitude of repo discounts ("haircuts") on specific collateral is related to the likelihood of that collateral being brought to Fed facilities.

Notes:

Print version record

July 2018.