Liquidity in US Treasury markets evaporated in March 2020 as the economic and financial
implications of COVID-19 became apparent. Large and widespread selling of bonds by …

This paper shows that the leverage ratio affects repo intermediation for banks and non-bank
financial institutions. We exploit a novel regulatory change in the UK to identify an …

Abstract The Financial Crisis began and accelerated in short-term money markets. One such
market is the multi-trillion dollar sale-and-repurchase (“repo”) market, where prices show …

We show that the segmented structure of the US Treasury repo market, in which some
participants have limited access across the segments, leads to rate dispersion, even in this …

We use unique data from US BHC-affiliated securities dealers to study the use of collateral
in bilateral repurchase and securities lending agreements. This is the first paper to provide …

Transactions on wholesale capital markets are often secured by marketable collateral.
However, collateral needs balance sheet space to move within the financial system. Certain …

Securities dealers receive mortgages as collateral for credit lines provided to mortgage
companies and reuse the same collateral to borrow money. Exploiting the 2005 BAPCPA …

In this article, we empirically document how primary dealers use and re-use collateral in the
United States. Using confidential supervisory data, we precisely map the flow of collateral to …

The 2007–2009 global financial crisis and the 2020–2021 Covid pandemic have seen the
Federal Reserve and other central banks pursue “unconventional” monetary policies, such …

I develop a theory of multiple maturity segments on the interbank market based on the
persistence of liquidity shocks and banks' liquidity management. The developed framework …