Repo over the Financial Crisis

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2025-02-10 DOI:10.1111/jofi.13406

ADAM COPELAND, ANTOINE MARTIN

引用次数: 0

Abstract

This paper uses new data to provide a comprehensive view of repo activity during the 2007 global financial crisis. We show that activity declined much more in the bilateral segment of the market than in the tri-party segment. Surprisingly, a large share of the decline in activity is driven by repos backed by Treasury securities. Further, a disproportionate share of the decline in repo activity is connected to securities dealer's market-making activity. In particular, the evidence suggests that at least part of the decline is not driven by clients pulling away from securities dealers because of counterparty credit concerns.

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金融危机中的回购

本文利用新数据对2007年全球金融危机期间的回购活动提供了一个全面的视角。我们发现，双边市场的活动下降幅度远大于三方市场。令人惊讶的是，活动下降的很大一部分是由美国国债支持的回购推动的。此外，回购活动下降的不成比例的份额与证券交易商的做市活动有关。特别是，有证据表明，至少部分下降不是由于客户出于对交易对手信用的担忧而离开证券交易商造成的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

期刊介绍： The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.