[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/fip/fednls/86828.html
   My bibliography  Save this paper

The Odd Behavior of Repo Haircuts during the Financial Crisis

Author

Abstract
Since the financial crisis began, there’s been substantial debate on the role of haircuts in U.S. repo markets. (The haircut is the value of the collateral in excess of the value of the cash exchanged in the repo; see our blog post for more on repo markets.) In an influential paper, Gorton and Metrick show that haircuts increased rapidly during the crisis, a phenomenon they characterize as a general “run on repo.” Consequently, some policymakers and academics have considered whether regulating haircuts might help stabilize the repo markets, for example, by setting a minimum level so that haircuts can never be too low, as discussed in another paper by Gorton and Metrick. In this post, we discuss recent findings showing that the rise in haircuts wasn’t a general phenomenon after all—haircuts didn’t rise in every repo market. We also discuss why the divergence across markets is odd, and the implications for policymakers.

Suggested Citation

  • Adam Copeland & Antoine Martin, 2012. "The Odd Behavior of Repo Haircuts during the Financial Crisis," Liberty Street Economics 20120917, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:86828
    as

    Download full text from publisher

    File URL: https://libertystreeteconomics.newyorkfed.org/2012/09/the-odd-behavior-of-repo-haircuts-during-the-financial-crisis.html
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Repurchase agreements; financial crisis; haircuts;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fednls:86828. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gabriella Bucciarelli (email available below). General contact details of provider: https://edirc.repec.org/data/frbnyus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.