Repo Runs: Evidence from the Tri‐Party Repo Market
利用三方回购市场的机密数据，发现2007-2009年金融危机期间大多数借款人的保证金水平和融资规模出奇稳定，但雷曼兄弟在2008年9月遭遇了融资急剧下降，表明不存在系统性的回购挤兑。
ABSTRACT The repo market has been viewed as a potential source of financial instability since the 2007 to 2009 financial crisis, based in part on findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that there was no system‐wide run on repo. Using confidential data on tri‐party repo, a major segment of this market, we show that, the level of margins and the amount of funding were surprisingly stable for most borrowers during the crisis. However, we also document a sharp decline in the tri‐party repo funding of Lehman in September 2008.