Who Ran on Repo? / Gary B. Gorton, Andrew Metrick.

Format:

Book

Author/Creator:

Gorton, Gary B.

Contributor:

National Bureau of Economic Research.

Metrick, Andrew.

Series:

Working Paper Series (National Bureau of Economic Research) no. w18455.

NBER working paper series no. w18455

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2012.

Summary:

The sale and repurchase (repo) market played a central role in the recent financial crisis. From the second quarter of 2007 to the first quarter of 2009, net repo financing provided to U.S. banks and broker-dealers fell by about $1.3 trillion - more than half of its pre-crisis total. Significant details of this "run on repo" remain shrouded, however, because many of the providers of repo finance are lightly regulated or unregulated cash pools. In this paper we supplement the best available official data sources with a unique market survey to provide an updated picture of the dynamics of the repo run. We provide evidence that the run was predominantly driven by the flight of foreign financial institutions, domestic and offshore hedge funds, and other unregulated cash pools. Our analysis highlights the danger of relying exclusively on data from regulated institutions, which would miss the most important parts of the run.

Notes:

Print version record

October 2012.