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Systemic risk in clearing houses: Evidence from the European repo market

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Cited by:

  1. Ferry Syarifuddin & Prayudhi Azwar, 2019. "The Scope, Prospect And Implication Of New Form Of Financial Intermediation For Monetary Policy In Indonesia," Working Papers WP/08/2019, Bank Indonesia.
  2. Francesca Barbiero & Glenn Schepens & Jean‐David Sigaux, 2024. "Liquidation Value and Loan Pricing," Journal of Finance, American Finance Association, vol. 79(1), pages 95-128, February.
  3. Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2024. "Loss Sharing in Central Clearinghouses: Winners and Losers," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 237-273.
  4. Benedikt Ballensiefen & Angelo Ranaldo, 2023. "Safe Asset Carry Trade," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(2), pages 223-265.
  5. Boyle, Glenn & Stover, Roger & Tiwana, Amrit & Zhylyevskyy, Oleksandr, 2022. "Depositor responses to a banking crisis: Are finance professionals special?," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 182-195.
  6. Christophe Pérignon & David Thesmar & Guillaume Vuillemey, 2018. "Wholesale Funding Dry‐Ups," Journal of Finance, American Finance Association, vol. 73(2), pages 575-617, April.
  7. Cyril Monnet & Thomas Nellen, 2021. "The Collateral Costs of Clearing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 939-970, August.
  8. Alexander Bechtel & Angelo Ranaldo & Jan Wrampelmeyer, 2023. "Liquidity Risk and Funding Cost," Review of Finance, European Finance Association, vol. 27(2), pages 399-422.
  9. Wenqian Huang, 2019. "Central counterparty capitalization and misaligned incentives," BIS Working Papers 767, Bank for International Settlements.
  10. Kazuya Suzuki & Kana Sasamoto, 2022. "Quantitative Analysis of Haircuts: Evidence from the Japanese Repo and Securities Lending Markets," Bank of Japan Working Paper Series 22-E-13, Bank of Japan.
  11. van Horen, Neeltje & Kotidis, Antonios, 2018. "Repo market functioning: The role of capital regulation," CEPR Discussion Papers 13090, C.E.P.R. Discussion Papers.
  12. Eisenschmidt, Jens & Ma, Yiming & Zhang, Anthony Lee, 2024. "Monetary policy transmission in segmented markets," Journal of Financial Economics, Elsevier, vol. 151(C).
  13. Mario Di Filippo & Angelo Ranaldo & Jan Wrampelmeyer, 2022. "Unsecured and Secured Funding," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 651-662, March.
  14. repec:ecb:ecbdps:202012 is not listed on IDEAS
  15. Dufour, Alfonso & Marra, Miriam & Sangiorgi, Ivan, 2019. "Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
  16. Coen, Jamie & Coen, Patrick & Hüser, Anne-Caroline, 2024. "Collateral demand in wholesale funding markets," Bank of England working papers 1082, Bank of England.
  17. Corradin, Stefano & Maddaloni, Angela, 2020. "The importance of being special: Repo markets during the crisis," Journal of Financial Economics, Elsevier, vol. 137(2), pages 392-429.
  18. Mahmoud Fatouh & Simone Giansante & Steven Ongena, 2023. "Quantitative Easing and the Functioning of the Gilts Repo Market," Swiss Finance Institute Research Paper Series 23-82, Swiss Finance Institute.
  19. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Other publications TiSEM 1f3bd844-92ab-4104-8f57-9, Tilburg University, School of Economics and Management.
  20. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard, 2021. "How does the repo market behave under stress? Evidence from the Covid-19 crisis," Bank of England working papers 910, Bank of England, revised 18 Jun 2021.
  21. Thomas Richter, 2021. "Central Counterparties and Liquidity Provision in Cash Markets," JRFM, MDPI, vol. 14(12), pages 1-26, December.
  22. Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
  23. Gabrielle Demange & Thibaut Piquard, 2021. "On the market structure of central counterparties in the EU," Working Papers halshs-03107812, HAL.
  24. Injun Hwang & Baeho Kim, 2022. "A systemic change of measure from central clearing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1738-1754, September.
  25. Corradin, Stefano & Eisenschmidt, Jens & Hoerova, Marie & Linzert, Tobias & Schepens, Glenn & Sigaux, Jean-David, 2020. "Money markets, central bank balance sheet and regulation," Working Paper Series 2483, European Central Bank.
  26. Christian Julliard & Gabor Pinter & Karamfil Todorov & Kathy Yuan, 2022. "What drives repo haircuts? Evidence from the UK market," BIS Working Papers 1027, Bank for International Settlements.
  27. Zhi, Bangdong & Wang, Xiaojun & Xu, Fangming, 2020. "Impawn rate optimisation in inventory financing: A canonical vine copula-based approach," International Journal of Production Economics, Elsevier, vol. 227(C).
  28. Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.
  29. Inaki Aldasoro & Luitgard A M Veraart, 2022. "Systemic Risk in Markets with Multiple Central Counterparties," BIS Working Papers 1052, Bank for International Settlements.
  30. Angelo Ranaldo & Benedikt Ballensiefen & Hannah Winterberg, 2020. "Monetary policy disconnect," Working Papers on Finance 2003, University of St. Gallen, School of Finance.
  31. repec:ecb:ecbdps:20174 is not listed on IDEAS
  32. Cassola, Nuno & Koulischer, François, 2019. "The collateral channel of open market operations," Journal of Financial Stability, Elsevier, vol. 41(C), pages 73-90.
  33. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
  34. Guagliano, Claudia & Mazzacurati, Julien, 2017. "Collateral scarcity premia in euro area repo markets," ESRB Working Paper Series 55, European Systemic Risk Board.
  35. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard Anna Maria, 2024. "How does the repo market behave under stress? Evidence from the COVID-19 crisis," Journal of Financial Stability, Elsevier, vol. 70(C).
  36. Patrick Schaffner & Angelo Ranaldo & Kostas Tsatsaronis, 2019. "Euro repo market functioning: collateral is king," BIS Quarterly Review, Bank for International Settlements, December.
  37. Tobe, Reiko & Uno, Jun, 2024. "Central bank asset purchases and lending: Impact on search frictions," Journal of Financial Intermediation, Elsevier, vol. 58(C).
  38. Steffen Murau & Alexandru-Stefan Goghie & Matteo Giordano, 2024. "Encumbered Security? Conceptualising Vertical and Horizontal Repos in the Euro Area," Working Papers 262, Department of Economics, SOAS University of London, UK.
  39. Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2021. "Regulatory effects on short-term interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 750-770.
  40. Bulusu, Narayan & Guérin, Pierre, 2019. "What drives interbank loans? Evidence from Canada," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 427-444.
  41. Gerba, Eddie & Katsoulis, Petros, 2021. "The repo market under Basel III," Bank of England working papers 954, Bank of England.
  42. repec:ecb:ecbdps:202011 is not listed on IDEAS
  43. Bulusu, Narayan, 2024. "Disentangling the supply and announcement effects of open market operations," Journal of Financial Markets, Elsevier, vol. 67(C).
  44. González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).
  45. Bagattini, Giulio & Fecht, Falko & Weber, Patrick, 2019. "The fire-sale channels of universal banks in the European sovereign debt crisis," Discussion Papers 43/2019, Deutsche Bundesbank.
  46. Giordano, Matteo & Goghie, Alexandru-Stefan, 2023. "From Policy to Regime: the changing posture of the ECB between liquidity and collateral through the lens of Monetary Regime," SocArXiv rw3ms, Center for Open Science.
  47. Yin, Libo & Feng, Jiabao & Han, Liyan, 2021. "Systemic risk in international stock markets: Role of the oil market," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 592-619.
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