Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208266
Authors: 
Brand, Claus
Ferrante, Lorenzo
Hubert, Antoine
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper 2232
Abstract: 
Focussing on repo specialness premia, using ISIN-specific transaction-by-transaction data of one-day maturity repos, we document a gradual shift from cash- to securities-driven transactions in euro area repo markets over the period 2010-2018. Compared to earlier studies focussing only on specific sub-periods or market segments we extend, illustrate, and validate evidence on financial frictions that are relevant in driving repo premia: controlling for a comprehensive range of bond-market specific characteristics, we show that repo premia have been systematically affected by fragmentation in the sovereign space, bank funding stress, and safe asset scarcity. These channels exhibit very strong country-specific differences, as also reflected by large discrepancies in country-specific interest rates on General Collateral. To ensure robustness of our empirical findings, we apply panel econometric and data mining approaches in a complementary and mutually informative way.
Subjects: 
Monetary policy
repo market
bond specialness
big data
machine learning
JEL: 
E52
E44
C33
C38
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3494-7
Document Type: 
Working Paper

Files in This Item:
File
Size





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