Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2020

Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses

Résumé

This article investigates the European repo market and its role as an amplification channel for sovereign-debt crises. We focus on transactions cleared via central clearing counterparties (CCPs), which account for the bulk of the repo market in the Eurozone. In particular, we collect novel data on repo haircuts applied on sovereign bonds and assess the methodologies used by CCPs for margining. We find that haircuts on peripheral sovereign bonds substantially increased in response to the rise in sovereign risk. Moreover, we document that the volume of the European repo market is strongly concentrated between few large financial institutions and few clearing houses. The procyclicality of haircuts and the concentration of secured transactions raise concerns about the CCP-intermediated repo market as asource of systemic risk in the Eurozone. This is however mitigated by the countercyclical monetary policy of the European Central Bank (ECB).
Fichier principal
Vignette du fichier
Armakolla_et_al_2017.pdf (6.06 Mo) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01479252 , version 1 (18-02-2020)

Identifiants

  • HAL Id : hal-01479252 , version 1

Citer

Angela Armakola, Raphaël Douady, Jean-Paul Laurent, Francesco Molteni. Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses. 2020. ⟨hal-01479252⟩
592 Consultations
276 Téléchargements

Partager

Gmail Facebook X LinkedIn More