The reuse of collateral can support the efficient allocation of safe assets in the financial
system. Exploiting a novel dataset, we show that banks substantially increase their reuse of …

We study what drives the re-use of US Treasury securities in the financial system. Using
confidential supervisory data, we estimate the degree of collateral re-use at the dealer level …

This paper introduces collateral rehypothecation, a widespread practice in derivatives,
swaps, and repo markets, in a general equilibrium model with default. Rehypothecation …

We introduce our GDSGE framework and a novel global solution method, called
simultaneous transition and policy function iterations (STPFIs), for solving dynamic …

We show that the effect of aggregate volatility on idiosyncratic risk sharing depends on the
nature of collateral sustaining insurance. While volatility increases the value of public assets …

We construct the first measure of collateral re-use at the bank and bond level for the
European repo market using a regulatory transaction dataset. We show that banks materially …

Custody-simply defined as holding securities or funds on behalf of third parties–is one of the
key institutions that defines and distinguishes major financial institutions in the financial …

The notion of counterparty credit risk is central to any business transaction. Yet, in the years
leading to the Global Financial Crisis (GFC), this age-old concern has turned into a chimera …

We perform the first transaction-level empirical study on collateral reuse as a direct funding
mechanism for dealers. We show that dealers surprisingly set a negative spread between …

When repo margins are raised by a central clearing counterparty (CCP), the impact on
security prices depends on whether the market is' long'or'short'. As both the long and the …