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Coen, Jamie, Coen, Patrick
and Hüser, Anne-Caroline
(2024)
Collateral Demand in Wholesale Funding Markets.
TSE Working Paper, Toulouse
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Abstract
Repo markets are systemically important funding markets, but are also used by firms to obtain the assets provided as collateral. Do these two functions complement each other? We build and estimate a model of repo trade between heterogeneous firms, and f ind that the answer is no: volumes and gains to trade would both be higher absent collateral demand. This is because on average the firms that need funding are also those that value the collateral to speculate or hedge interest rate risk. These results have implications for policies that affect collateral demand in repo markets, including rules on short selling.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | May 2024 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | Repo, collateral demand, intermediation, financial crises. |
| JEL Classification: | G11 - Portfolio Choice; Investment Decisions G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages G23 - Pension Funds; Other Private Financial Institutions L14 - Transactional Relationships; Contracts and Reputation; Networks |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse Capitole |
| Site: | UT1 |
| Date Deposited: | 07 Feb 2025 09:18 |
| Last Modified: | 07 Feb 2025 09:18 |
| OAI Identifier: | oai:tse-fr.eu:130323 |
| URI: | https://publications.ut-capitole.fr/id/eprint/50411 |
