The use of collateral in bilateral repurchase and securities lending agreements
| Autor: | Marco Cipriani, Cecilia Caglio, Adam Copeland, Viktoria Baklanova |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
Stylized fact Haircut Collateral media_common.quotation_subject 05 social sciences Adverse selection Asset allocation Monetary economics Maturity (finance) Interest rate 0502 economics and business Economics Securities lending 050207 economics 050205 econometrics media_common |
| Zdroj: | Review of Economic Dynamics. 33:228-249 |
| ISSN: | 1094-2025 |
| DOI: | 10.1016/j.red.2019.05.002 |
| Popis: | We use unique data from U.S. BHC-affiliated securities dealers to study the use of collateral in bilateral repurchase and securities lending agreements. This is the first paper to provide stylized facts about this market, documenting, among other things, that most trades are backed by U.S. Treasuries and equities, and have either an overnight or open maturity. We also focus on how haircuts are determined in this market, highlighting the differences across asset classes. Finally, we document a negative correlation between haircut and interest rate, a prediction in line with a large set of theories; however this correlation is quite small in magnitude. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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