BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:The Euro interbank repo market - Mancini\, L (EPFL)
DTSTART:20140924T090000Z
DTEND:20140924T094500Z
UID:TALK54493@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-authors: Angelo Ranaldo (University of St. Gallen)\, Jan Wr
 ampelmeyer (University of St. Gallen)\n\nIn the aftermath of the recent fi
 nancial crisis\, policy makers and regulators have initiated enormous effo
 rts to reform financial markets in general and to stabilize banks' funding
  in particular. Is there a market design for short-term funding that ensur
 es that banks can satisfy their liquidity needs even during severe crisis 
 periods like the 2007-2009 financial crisis or the European sovereign debt
  crisis? Can a well-designed private market encourage lending even when ag
 gregate risk is large and overall funding conditions tighten? This paper s
 hows that such a private funding market already exists\, namely the centra
 l counterparty (CCP)-based euro interbank repo market. Using a unique and 
 comprehensive dataset\, we provide the first systematic study of this impo
 rtant funding market and show that it is resilient during crisis episodes.
  If the CCP-based infrastructure is combined with very safe collateral\, t
 he market even acts as a shock absorber\, in the sense that repo volume in
 creases with risk\, while spreads\, maturities\, and haircuts remain stabl
 e. Our results are consistent with banks trusting the CCP-based repo marke
 t to be a safe venue to hoard liquidity.\n
LOCATION:Seminar Room 1\, Newton Institute
END:VEVENT
END:VCALENDAR