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Sizing Up Repo
Author(s) -
KRISHNAMURTHY ARVIND,
NAGEL STEFAN,
ORLOV DMITRY
Publication year - 2014
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/jofi.12168
Subject(s) - repurchase agreement , business , cash , asset (computer security) , financial system , monetary economics , stock (firearms) , collateralized debt obligation , debt , financial crisis , finance , collateral , economics , market liquidity , computer science , mechanical engineering , computer security , engineering , macroeconomics
To understand which short‐term debt markets experienced “runs” during the financial crisis, we analyze a novel data set of repurchase agreements (repo), that is, loans between nonbank cash lenders and dealer banks collateralized with securities. Consistent with a run, repo volume backed by private asset‐backed securities falls to near zero in the crisis. However, the reduction is only $182 billion, which is small relative to the stock of private asset‐backed securities as well as the contraction in asset‐backed commercial paper. While the repo contraction is small in aggregate, it disproportionately affected a few dealer banks.