Publication: The shadow costs of repos and bank liability structure
The shadow costs of repos and bank liability structure
Date
Date
Date
Citations
Klimenko, N., & Moreno-Bromberg, S. (2016). The shadow costs of repos and bank liability structure. Journal of Economic Dynamics and Control, 65, 1–29. https://doi.org/10.1016/j.jedc.2016.01.004
Abstract
Abstract
Abstract
Making use of a structural model that allows for optimal liquidity management, we study the role that repos play in a bank׳s financing structure. In our model the bank׳s assets consist of illiquid loans and liquid reserves and are financed by a combination of repos, long-term debt, deposits and equity. Repos are a cheap source of funding, but they are subject to an exogenous rollover risk. We show that the use of repos inflicts two types of indirect (“shadow”) costs on the bank׳s shareholders: first, it induces the bank to maintain hi
Additional indexing
Creators (Authors)
- Klimenko, Nataliya
- Moreno-Bromberg, Santiago
Journal/Series Title
Journal/Series Title
Journal/Series Title
Volume
Volume
Volume
Page range/Item number
Page range/Item number
Page range/Item number
Page end
Page end
Page end
Item Type
Item Type
Item Type
In collections
Keywords
Scope
Scope
Scope
Language
Language
Language
Publication date
Publication date
Publication date
Date available
Date available
Date available
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
OA Status
OA Status
OA Status
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
Related URLs
Related URLs
Related URLs
Citations
Klimenko, N., & Moreno-Bromberg, S. (2016). The shadow costs of repos and bank liability structure. Journal of Economic Dynamics and Control, 65, 1–29. https://doi.org/10.1016/j.jedc.2016.01.004
