We document a regime change in the Treasury market post-Global Financial Crisis (GFC):
dealers switched from net short to net long Treasury bonds. We construct “net-long” and “net …

Margin—collateral or funds that investors deposit with their counterparties—is a crucial
component of the practice of borrowing money to fund investment. While margin offers the …

Most short-term interest rates in the euro area are below the European Central Bank deposit
facility rate, the rate at which the central bank remunerates banks for excess reserves. This …

Repo markets are an important first stage of monetary policy transmission. In the European
repo market, the majority of participants, including non-dealer banks and non-banks, do not …

I model and structurally estimate the equilibrium rates and volume in the Triparty repo
market to study imperfect competition in wholesale funding. Even in this systemically …

There are two main theories of banking which seem to be incompatible by nature. According
to the first, banks intermediate money through their credit infrastructure but are not …

This paper presents a model of repo intermediation in which dealers intermediate secured
financing between lenders and borrowers using the same collateral. Lenders are insulated …

This paper shows that collateralized short-term debt, although privately optimal for reducing
borrowers' risk-taking incentives, can induce fragility (multiple equilibria). Despite sequential …

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 …

This paper models an unexplored source of liquidity risk large broker-dealers face: a
withdrawal of collateral providers. By setting different contracting terms on repurchase …