欧洲央行-回购的国际维度：五个新事实（英）-2025-75页.pdfVIP

WorkingPaperSeries

FelixHermes,MaikSchmeling,Theinternationaldimensionofrepo:

AndreasSchrimpf

fivenewfacts

No3065

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank

(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

Abstract

Weanalyzetheinternationaldimensionofrepomarketsusingnoveleuroarearegulatory

microdata.Ourfindingshighlightthedeepintegrationoffundingmarketsacrossthe

AtlanticandtheUSdollar’soutsizedrole.Ourpaperdocumentsfivekeyfacts:(1)

USdollarreposbyeuroareaentitiesaccountforapproximately40%oftotalvolumes

andarecomparableinsizetoeurorepos;(2)termrepos(withmaturitiesbeyondone

day)arequantitativelymorerelevantthancommonlythought,especiallynon-centrally

clearedones;(3)repomarketshavebecomemorecollateral-driven,involvingdiverse

nonbankfinancialplayersandtradingmotives;(4)banks’intragrouptransactions

formalargeshareofnon-centrallyclearedvolumes;and(5)haircuts,evenforriskier

collateral,areoftenzeroornegative,especiallyineurotrades.Weshowintwoempirical

applicationsthatUSmonetarypolicyshocksspillovertoeuroreporatesandthat

negativehaircutsarisefrommarketpowerandcollateraldemanddynamics.

JELClassification:G12,G14

Keywords:Repomarket,USdollarfunding,Haircuts,Bankintermediation

ECBWorkingPaperSeriesNo3065