Download This PaperInternet Appendix for 'The Euro Interbank Repo Market'
28 Pages Posted: 17 Dec 2013 Last revised: 30 Jul 2015
Date Written: July 30, 2015
Abstract
This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2015) by presenting additional analyses and robustness checks. It also describes the procedure to construct proxies for the volume-weighted average haircuts applied by the ECB and Eurex Repo.
The paper "The Euro Interbank Repo Market" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2331355
Keywords: Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy
JEL Classification: E43, E58, G01, G12, G21, G28
Suggested Citation: Suggested Citation
Swiss Finance Institute ( email )
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
Angelo Ranaldo
University of St. Gallen ( email )
School of Finance
Unterer Graben 21
St. Gallen, 9000
Switzerland
+41712247010 (Phone)
HOME PAGE: http://fin-sr.unisg.ch
Swiss Finance Institute ( email )
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
+41796637711 (Phone)
HOME PAGE: http://www.sfi.ch/de/about-us/news/hsg-faculty-members