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Fails Charge and Liquidity Spillovers /

Bhatia, Mikhail Narendra,

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Fails Charge and Liquidity Spillovers /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Fails Charge and Liquidity Spillovers // Mikhail Narendra Bhatia.
作者:	Bhatia, Mikhail Narendra,
面頁冊數:	1 electronic resource (73 pages)
附註:	Source: Dissertations Abstracts International, Volume: 86-06, Section: A.
Contained By:	Dissertations Abstracts International86-06A.
標題:	Funding. -
電子資源:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31810405
ISBN:	9798346823100

Fails Charge and Liquidity Spillovers /
Bhatia, Mikhail Narendra,

Fails Charge and Liquidity Spillovers /Mikhail Narendra Bhatia. - 1 electronic resource (73 pages)

Source: Dissertations Abstracts International, Volume: 86-06, Section: A.

The links between asset liquidity and dealers' funding liquidity play a pivotal role in determining financial stability. While the literature has provided ample evidence for how funding liquidity affects asset liquidity, much less evidence is offered in the reverse direction. In this paper I study the triparty repo market and exploit a policy that exogenously shocked the liquidity of agency securities to provide causal evidence on how asset liquidity affects dealers funding liquidity through its impact on repo contract terms. Using difference-in-differences, I find that improvement in liquidity is associated with an increase in volume alongside a decline in rates on agency collateral repos. There is also a reduction in corporate debt collateral repo volume and rate. This spillover effect exists only for repos involving prime funds (a type of lender). I rationalize these findings using a unified supply-demand framework focusing on the core participants in the repo market.

English

ISBN: 9798346823100Subjects--Topical Terms:

3557916
Funding.

Fails Charge and Liquidity Spillovers /
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