NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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The Run on Repo and the Fed's Response

Gary Gorton, Toomas Laarits, Andrew Metrick

NBER Working Paper No. 24866
Issued in July 2018
NBER Program(s):Asset Pricing, Corporate Finance, Economic Fluctuations and Growth, Monetary Economics

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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Document Object Identifier (DOI): 10.3386/w24866

Published: Gary Gorton & Toomas Laarits & Andrew Metrick, 2020. "The Run on Repo and the Fed's Response," Journal of Financial Stability, .

 
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