Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of New York
Staff Reports
Repo runs: evidence from the tri-party repo market
Adam Copeland
Antoine Martin
Michael Walker
Abstract

The repo market has been viewed as a potential source of financial instability since the 2007-09 financial crisis, owing in part to findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that no system-wide run on repo occurred. Using confidential data on tri-party repo, a major segment of this market, we show that the level of margins and the amount of funding were surprisingly stable for most borrowers during the crisis. However, we also document a sharp decline in the tri-party repo funding of Lehman in September 2008.


Download Full text
Download Full text
Download Data
Cite this item
Adam Copeland & Antoine Martin & Michael Walker, Repo runs: evidence from the tri-party repo market, Federal Reserve Bank of New York, Staff Reports 506, 2011, revised 01 Aug 2014.
More from this series
Note: For a published version of this report, see Adam Copeland, Antoine Martin, and Michael Walker, "Repo Runs: Evidence from the Tri-Party Repo Market," Journal of Finance 69, no. 6 (December 2014): 2343-80.
JEL Classification:
Subject headings:
Keywords: tri-party repo; wholesale funding; money markets; short-term funding
For corrections, contact Amy Farber ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal