Header

UZH-Logo

Maintenance Infos

Liquidity in the Repo Market


Fuhrer, Lucas (2018). Liquidity in the Repo Market. Journal of International Money and Finance, 84:1-22.

Abstract

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 system, quoted volumes in the interbank market get imbalanced towards more cash provider relative to cash taker quotes and the trading volume declines. By estimating liquidity in an interbank repo market and explaining its drivers, this paper contributes to the ongoing debate on repo market functioning.

Abstract

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 system, quoted volumes in the interbank market get imbalanced towards more cash provider relative to cash taker quotes and the trading volume declines. By estimating liquidity in an interbank repo market and explaining its drivers, this paper contributes to the ongoing debate on repo market functioning.

Statistics

Citations

Altmetrics

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
Uncontrolled Keywords:Economics and Econometrics, Finance
Language:English
Date:June 2018
Deposited On:10 Aug 2018 13:11
Last Modified:19 Aug 2018 16:16
Publisher:Elsevier
ISSN:0261-5606
OA Status:Closed
Publisher DOI:https://doi.org/10.1016/j.jimonfin.2018.02.005
Related URLs:https://www.snb.ch/n/mmr/reference/working_paper_2017_06/source/working_paper_2017_06.n.pdf
Other Identification Number:merlin-id:15906

Download

Full text not available from this repository.
View at publisher

Get full-text in a library