{"title":"Repo haircuts: Market practices and the impact of minimum requirements on leverage","authors":"Michael Grill , Felix Hermes , Michael Wedow","doi":"10.1016/j.frl.2024.106484","DOIUrl":null,"url":null,"abstract":"<div><div>We use transaction-level data on the euro area repo market to assess the calibration of the Financial Stability Board's (FSB) recommended minimum haircut framework and its impact on leverage in non-bank financial institutions. We find that market haircuts are currently not in line with the framework. Therefore, a market failure exists that needs to be addressed by regulation, such as the minimum haircut framework. In assessing its potential impact, we find that it would affect larger and more leveraged entities the most, indicating its capability to make a meaningful contribution to addressing risks from leverage in non-bank financial institutions.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106484"},"PeriodicalIF":7.4000,"publicationDate":"2024-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612324015137","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We use transaction-level data on the euro area repo market to assess the calibration of the Financial Stability Board's (FSB) recommended minimum haircut framework and its impact on leverage in non-bank financial institutions. We find that market haircuts are currently not in line with the framework. Therefore, a market failure exists that needs to be addressed by regulation, such as the minimum haircut framework. In assessing its potential impact, we find that it would affect larger and more leveraged entities the most, indicating its capability to make a meaningful contribution to addressing risks from leverage in non-bank financial institutions.
期刊介绍：
Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies.
Papers are invited in the following areas:
Actuarial studies
Alternative investments
Asset Pricing
Bankruptcy and liquidation
Banks and other Depository Institutions
Behavioral and experimental finance
Bibliometric and Scientometric studies of finance
Capital budgeting and corporate investment
Capital markets and accounting
Capital structure and payout policy
Commodities
Contagion, crises and interdependence
Corporate governance
Credit and fixed income markets and instruments
Derivatives
Emerging markets
Energy Finance and Energy Markets
Financial Econometrics
Financial History
Financial intermediation and money markets
Financial markets and marketplaces
Financial Mathematics and Econophysics
Financial Regulation and Law
Forecasting
Frontier market studies
International Finance
Market efficiency, event studies
Mergers, acquisitions and the market for corporate control
Micro Finance Institutions
Microstructure
Non-bank Financial Institutions
Personal Finance
Portfolio choice and investing
Real estate finance and investing
Risk
SME, Family and Entrepreneurial Finance
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
