Extant literature

نویسندگان

  • Peter G Dunne
  • Michael Fleming
  • Andrey Zholos
چکیده

The financial turmoil that began in mid‐2007 produced severe stress in interbank markets and prompted significant changes in central bank's funding operations. This paper examines how official interventions affected the efficiency and reliability of the secondary repo market as a mechanism for the distribution of interbank funding during this unusual period. The limit orderbook from the BrokerTec electronic repo trading platform is reconstructed to provide an accurate measure of available liquidity and funding opportunities at high frequency throughout the crisis. This provides insights about the effectiveness of 'liquidity provider of last resort' efforts by the ECB in reponse to the crisis.

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تاریخ انتشار 2009