Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153343
Authors: 
Ewerhart, Christian
Tapking, Jens
Year of Publication: 
2008
Series/Report no.: 
ECB Working Paper 909
Abstract: 
A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an important innovation, we allow for two-sided counterparty risk. Our findings relate to empirical characteristics of repo transactions and have an immediate bearing on market developments since August 2007.
Subjects: 
collateral
Counterparty risk
haircuts
liquidity
repurchase agreements
JEL: 
G21
G32
E51
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.