Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/278342 
Year of Publication: 
2023
Series/Report no.: 
ECB Working Paper No. 2771
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
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.
Subjects: 
banking regulation
window dressing
repo markets
leverage ratio
G-SIBs
JEL: 
C23
G14
G18
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-5513-3
Document Type: 
Working Paper

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