Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/262046 
Year of Publication: 
2021
Series/Report no.: 
Staff Reports No. 996
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
This paper uses new data to provide a comprehensive view of repo activity during the 2007-09 financial crisis for the first time. We show that activity declined much more in the bilateral segment of the market than in the tri-party segment. Surprisingly, we find that a large share of the decline in activity is driven by repos backed by Treasury securities. Further, a disproportionate share of the decline in repo activity is connected to securities dealer's market-making activity in Treasury securities. In particular, the evidence suggests that at least part of the decline is not driven by clients pulling away from securities dealers because of counterparty credit concerns.
Subjects: 
repo
financial crisis
money markets
JEL: 
G01
G23
E42
Document Type: 
Working Paper

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