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Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
ECB Working Paper No. 2771
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper investigates both the magnitude and the drivers of bank window dressing behaviour in euro-denominated repo markets. Using a confidential transaction-level data set, our analysis illustrates that banks engineer an economically sizeable contraction in their repo transactions around regulatory reporting dates. We establish a causal link between these reductions and banks' incentives to window dress and document the role of the leverage ratio and the G-SIB framework as the most relevant drivers of window dressing behaviour. Our findings suggest that regulatory action is warranted to limit banks' ability to window dress.
Schlagwörter: 
banking regulation
window dressing
repo markets
leverage ratio
G-SIBs
JEL: 
C23
G14
G18
G21
G28
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-5513-3
Dokumentart: 
Working Paper

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