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| Title: | | Repo run: evidence from the tri-party repo market  |
| Authors: | | Copeland, Adam Martin, Antoine Walker, Michael |
| Issue Date: | | 2011 |
| Series/Report no.: | | Staff Report, Federal Reserve Bank of New York 506 |
| Abstract: | | This paper provides a quantitative account of the tri-party repo market during the recent financial crisis. Using data from July 2008 to January 2010, we show that the level of haircuts and the amount of funding were surprisingly stable in this market. The stability of the haircuts contrasts with evidence from the bilateral repo market, where, as shown by Gorton and Metrick (2011), haircuts increased sharply. During the crisis, adjustments in the volume of funding to dealers were not gradual; instead, the amount of funding in the tri-party repo market can decrease precipitously. Our findings suggest that runs in the triparty repo market resemble traditional bank runs. |
| Subjects: | | tri-party repo, wholesale funding, short-term funding |
| JEL: | | E44 E58 G24 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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