Report

Which financial frictions? Parsing the evidence from the financial crisis of 2007-09


Abstract: We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending (sec lending) markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets, and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection should include six characteristics of repo and sec lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.

Keywords: Financial crises; Finance; Macroeconomics; Econometric models; Bank loans; Bonds; Credit;

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Provider: Federal Reserve Bank of New York

Part of Series: Staff Reports

Publication Date: 2011

Number: 528