Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142125
Authors: 
Ebner, André
Fecht, Falko
Schulz, Alexander
Year of Publication: 
2016
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 14/2016
Abstract: 
Repo markets offering central counterparty (CCP) clearing and anonymized trading were remarkably resilient during the recent crises. We use the full transaction level dataset on all repo trades on Eurex Repo, including identifiers for market participants, to provide a detailed description of the market's development and microstructure during the crises and under different monetary policy interventions. Overall, we find high excess liquidity being associated with lower private liquidity provision in this market. Cross-segment arbitrage and market making is limited but growing steadily. The reallocation of liquidity risk across banks within this market varies substantially with the general market conditions.
Subjects: 
repo
central counterparty
market microstructure
financial crisis
JEL: 
G2
D4
E58
ISBN: 
978-3-95729-254-4
Document Type: 
Working Paper

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