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Re‐Use of Collateral in the Repo Market


Fuhrer, Lucas; Guggenheim, B; Schumacher, S (2016). Re‐Use of Collateral in the Repo Market. Journal of Money, Credit and Banking, 48(6):1169-1193.

Abstract

This paper introduces a methodology to estimate the re-use of collateral based on actual transaction data. With a comprehensive data set from the Swiss franc repo market we are able to provide the first systematic study on the re-use of collateral. We find that re-using collateral was most popular prior to the financial crisis when roughly 10% of the outstanding interbank volume was secured with re-used collateral. Furthermore, we show that the re-use of collateral increases with the scarcity of collateral. By giving an estimate of the collateral re-use and explaining its drivers, the paper contributes to the on-going debate on collateral availability.

Abstract

This paper introduces a methodology to estimate the re-use of collateral based on actual transaction data. With a comprehensive data set from the Swiss franc repo market we are able to provide the first systematic study on the re-use of collateral. We find that re-using collateral was most popular prior to the financial crisis when roughly 10% of the outstanding interbank volume was secured with re-used collateral. Furthermore, we show that the re-use of collateral increases with the scarcity of collateral. By giving an estimate of the collateral re-use and explaining its drivers, the paper contributes to the on-going debate on collateral availability.

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3 citations in Web of Science®
2 citations in Scopus®
19 citations in Microsoft Academic
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:August 2016
Deposited On:01 Mar 2018 15:34
Last Modified:13 Apr 2018 11:37
Publisher:Wiley-Blackwell Publishing, Inc.
ISSN:0022-2879
OA Status:Closed
Publisher DOI:https://doi.org/10.1111/jmcb.12330
Other Identification Number:merlin-id:15527

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