Publication: Liquidity in the Repo Market
Liquidity in the Repo Market
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Fuhrer, L. M. (2018). Liquidity in the Repo Market. Journal of International Money and Finance, 84, 1–22. https://doi.org/10.1016/j.jimonfin.2018.02.005
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This paper examines liquidity in the Swiss franc repurchase (repo) market and assesses its determinants using a proprietary dataset ranging from 2006 to 2016. I find that repo market liquidity has a distinct intraday pattern, with low liquidity in early and late trading hours. Moreover, repo market liquidity is negatively affected by stress in the global financial system and the end of the minimum reserve requirement period if central bank reserves are scarce. Furthermore, I show that with excess central bank reserves in the financial
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- Fuhrer, Lucas Marc
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Fuhrer, L. M. (2018). Liquidity in the Repo Market. Journal of International Money and Finance, 84, 1–22. https://doi.org/10.1016/j.jimonfin.2018.02.005