Working Paper: NBER ID: w18549
Authors: Tobias Adrian; Brian Begalle; Adam Copeland; Antoine Martin
Abstract: We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection would include, at a minimum, six characteristics of repo and securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.
Keywords: No keywords provided
JEL Codes: G18; G23; G28; G38
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| completeness of data collection (C80) | ability to assess firm-level and systemic risks (E44) |
| detailed data on firm-level transactions (L14) | comprehensive understanding of repo and securities lending markets (G10) |
| lack of detailed data (C80) | limited understanding of risks associated with interconnectedness of markets (F65) |
| reinvestment of cash collateral (G33) | additional risk (D81) |