The Run on Repo and the Fed's Response / Gary Gorton, Toomas Laarits, Andrew Metrick.

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Gorton, Gary

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w24866.Publication details: Cambridge, Mass. National Bureau of Economic Research 2018.Description: 1 online resource: illustrations (black and white)Subject(s):

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Abstract: The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase ("repo") market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo runs, because detailed data on repo quantities is not available. We provide quantity evidence of the run on repo through an examination of the collateral brought to emergency liquidity facilities of the Federal Reserve. We show that the magnitude of repo discounts ("haircuts") on specific collateral is related to the likelihood of that collateral being brought to Fed facilities.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w24866 (Browse shelf(Opens below))	Not For Loan

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July 2018.

The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase ("repo") market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo runs, because detailed data on repo quantities is not available. We provide quantity evidence of the run on repo through an examination of the collateral brought to emergency liquidity facilities of the Federal Reserve. We show that the magnitude of repo discounts ("haircuts") on specific collateral is related to the likelihood of that collateral being brought to Fed facilities.