Working Paper

Primary Dealers' Behavior during the 2007-08 Crisis : Part I, Repo Runs


Abstract: This is the first of two notes that empirically document the behavior of U.S. Primary Dealers during the 2007-08 financial crisis. In this note we show that dealers' exposure to risky assets drives the observed repo funding squeeze; moreover, as evident from Lehman's experience, we show that repos become subject to counterparty risk during periods of stress, even when collateralized by the safest assets.

https://doi.org/10.17016/2380-7172.1996

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Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: FEDS Notes

Publication Date: 2017-06-22

Number: 2017-06-22-1