Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93817
Title: 
Authors: 
Martin, Antoine
Skeie, David
von Thadden, Ernst-Ludwig
Year of Publication: 
2013
Series/Report no.: 
SFB/TR 15 Discussion Paper 448
Abstract: 
The recent financial crisis has shown that short-term collateralized borrowing may be a highly unstable source of funds in times of stress. The present paper develops a dynamic equilibrium model and analyzes under what conditions such instability can be a consequence of market-wide changes in expectations. We derive a liquidity constraint and a collateral constraint that determine whether such expectations-driven runs are possible and show that they depend crucially on the microstructure of particular funding markets that we examine in detail. In particular, our model provides insights into the differences between the tri-party repo market and the bilateral repo market, which were both at the heart of the recent financial crisis.
Subjects: 
Investment banking
repurchase agreements
tri-party repo
bilateral repo
money market mutual funds
asset-backed commercial paper
bank runs
JEL: 
E44
E58
G24
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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