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Anatomy of the Repo Rate Spikes in September 2019

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Listed:
  • R. Jay Kahn
  • Matthew McCormick
  • Vy Nguyen
  • Mark Paddrik
  • H. Peyton Young

Abstract

Repurchase agreement (repo) markets represent one of the largest sources of funding and risk transformation in the U.S. financial system. Despite the large volume, repo rates can be quite volatile, and in the extreme, they have exhibited intraday spikes that are 5-10 times the rate on a typical day. This paper uses a unique combination of intraday timing data from the repo market to examine the potential causes of the dramatic spike in repo rates in mid-September 2019 (Working Paper no. 23-04).

Suggested Citation

  • R. Jay Kahn & Matthew McCormick & Vy Nguyen & Mark Paddrik & H. Peyton Young, 2023. "Anatomy of the Repo Rate Spikes in September 2019," Working Papers 23-04, Office of Financial Research, US Department of the Treasury.
    • Handle: RePEc:ofr:wpaper:23-04
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    File URL: https://www.financialresearch.gov/working-papers/files/OFRwp-23-04_anatomy-of-the-repo-rate-spikes-in-september-2019.pdf
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    References listed on IDEAS

    as
    1. Gara Afonso & Marco Cipriani & Adam Copeland & Anna Kovner & Gabriele La Spada & Antoine Martin, 2021. "The Market Events of Mid-September 2019," Economic Policy Review, Federal Reserve Bank of New York, vol. 27(2), pages 1-26, August.
    2. Han, Song & Nikolaou, Kleopatra & Tase, Manjola, 2022. "Trading relationships in secured markets: Evidence from triparty repos," Journal of Banking & Finance, Elsevier, vol. 139(C).
    3. Kevin Clark & Adam Copeland & R. Jay Kahn & Antoine Martin & Mark E. Paddrik & Benjamin Taylor, 2021. "Intraday Timing of General Collateral Repo Markets," Liberty Street Economics 20210714, Federal Reserve Bank of New York.
    4. Adam Copeland & Darrell Duffie & Yilin Yang, 2021. "Reserves Were Not So Ample After All," Staff Reports 974, Federal Reserve Bank of New York.
    5. Daniel Barth & R. Jay Kahn, 2021. "Hedge Funds and the Treasury Cash-Futures Disconnect," Working Papers 21-01, Office of Financial Research, US Department of the Treasury.
    6. Ricardo Correa & Wenxin Du & Gordon Y. Liao, 2020. "U.S. Banks and Global Liquidity," NBER Working Papers 27491, National Bureau of Economic Research, Inc.
    7. Samuel J. Hempel & R. Jay Kahn, 2021. "Negative Rates in Bilateral Repo Markets," Briefs 21-03, Office of Financial Research, US Department of the Treasury.
    8. Sriya Anbil & Alyssa G. Anderson & Zeynep Senyuz, 2020. "What Happened in Money Markets in September 2019?," FEDS Notes 2020-02-27, Board of Governors of the Federal Reserve System (U.S.).
    9. Alyssa G. Anderson & Jeff W. Huther, 2016. "Modelling Overnight RRP Participation," Finance and Economics Discussion Series 2016-023, Board of Governors of the Federal Reserve System (U.S.).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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