(Translated by https://www.hiragana.jp/)
Citation data for document RePEc:boe:boeewp:0954
create a website

The repo market under Basel III. (2021). Katsoulis, Petros ; Gerba, Eddie.
In: Bank of England working papers.
RePEc:boe:boeewp:0954.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 50

References cited by this document

Cocites: 25

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. How does the repo market behave under stress? Evidence from the COVID-19 crisis. (2024). Maria, Luitgard Anna ; Lepore, Caterina ; Huser, Anne-Caroline.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000931.

    Full description at Econpapers || Download paper

  2. Safe Asset Scarcity and Re-use in the European Repo Market. (2023). Lelyveld, Iman ; van Lelyveld, Iman ; Inhoffen, Justus.
    In: Working Papers.
    RePEc:dnb:dnbwpp:787.

    Full description at Econpapers || Download paper

  3. Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo.
    In: Bank of England working papers.
    RePEc:boe:boeewp:1034.

    Full description at Econpapers || Download paper

  4. The ring-fencing bonus. (2023). Thanassoulis, John ; Neamtu, Ioana ; Erten, Irem.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0999.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aguilar, P., Fahr, S., Gerba, E., and Hurtado, S. (2020). Quest for robust optimal macroprudential policy.

  2. Allahrakha, M., Cetina, J., and Munyan, B. (2018). Do higher capital standards always reduce bank risk? The impact of the Basel leverage ratio on the U.S. triparty repo market. Journal of Financial Intermediation, 34:3–16.

  3. Bank of England Staff Working Paper No. 902. Noss, J. and Patel, R. (2019). Decomposing changes in the functioning of the sterling repo market. Bank of England Staff Working Paper No. 797.

  4. BCBS (2021). Early lessons from the Covid-19 pandemic on the Basel reforms. Evaluation report, Basel Committee.
    Paper not yet in RePEc: Add citation now
  5. Begenau, J. and Landvoigt, T. (2021). Financial Regulation in a Quantitative Model of the Modern Banking System. NBER Working Paper No. 28501.

  6. Bentzen, C., Cockayne, G., Gerba, E., and Pank, R. (2020). “Thank me later:” Why is (macro)prudence desirable? Forthcoming in Danmarks Nationalbank Working Paper series.
    Paper not yet in RePEc: Add citation now
  7. Bicu-Lieb, A., Chen, L., and Elliott, D. (2020). The leverage ratio and liquidity in the gilt and gilt repo markets. Journal of Financial Markets, 48(100510).

  8. BoE (2019). Financial Stability Report December 2019. Bank of England.
    Paper not yet in RePEc: Add citation now
  9. BoE (2020). Interim Financial Stability Report May 2020. Bank of England.
    Paper not yet in RePEc: Add citation now
  10. BoE (2021a). Assessing the resilience of market-based finance. Financial Policy Committee, Bank of England.
    Paper not yet in RePEc: Add citation now
  11. BoE (2021b). Financial Stability Report July 2021. Bank of England.
    Paper not yet in RePEc: Add citation now
  12. Boissel, C., Derrien, F., Ors, E., and Thesmar, D. (2017). Systemic risk in clearing houses: Evidence from the European repo market. Journal of Finanial Economics, 125(3):511–536.

  13. Budnik, K., Dimitrov, I., Giglio, C., Groß, J., Lampe, M., Sarychev, A., Tarbé, M., Vagliano, G., and Volk, M. (2021). The growth-at-risk perspective on the system-wide impact of Basel III finalisation in the euro area. ECB Occassional Paper No 258.

  14. Carpantier, J. F., Olivera, J., and Van Kerm, P. (2018). Macroprudential policy and household wealth inequality. Journal of International Money and Finance, (85):262–277.

  15. Cerutti, E., Claessens, S., and Laeven, L. (2017). The use and effectiveness of macroprudential policies: New evidence. Journal of Financial Stability, (28):203–224.

  16. CGFS (2017). Repo market functioning. CGFS Papers No. 59. Committee on the Global Financial System, Bank for International Settlements.

  17. Cizel, J., Frost, J., Houben, A., and Wierts, P. (2019). Effective Macroprudential Policy: Cross-Sector Substitution from Price and Quantity Measures. Journal of Money, Credit and Banking, 51(5):1209–1235.

  18. Copeland, A., Martin, A., and Walker, M. (2014). Repo Runs: Evidence from the Tri-Party Repo Market.

  19. D’Amico, S., Fan, R., and Kitsul, Y. (2018). The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors. Journal of Financial and Quantitative Analysis, 53(5):2103–2129.

  20. Duffie, D. (2018). Financial Regulatory Reform After the Crisis: An Assessment. Management Science, 64(10):4835–4857.

  21. Dynare Working Paper Series, (53):46. Aikman, D., Giese, J., Kapadia, S., and McLeay, M. (2018). Targeting financial stability: macroprudential or monetary policy? Bank of England Staff Working Paper No. 734.

  22. ECB Working Paper No. 2406. Gerba, E. and Mencia, J. (2019). How effective are capital-based macroprudential measures in taming the macro-financial cycles? A structural enquiry into Spain. Conference paper for the 2019 Danmarks Nationalbank Financial Stability Conference.
    Paper not yet in RePEc: Add citation now
  23. Eisenbach, T., Keister, T., McAndrews, J., and Yorulmazer, T. (2014). Stability of Funding Models: An Analytical Framework. Fed NY Economic Policy Review.

  24. Fève, P., Moura, A., and Pierrard, O. (2019). Shadow banking and financial regulation: A small-scale DSGE perspective. Journal of Economic Dynamics and Control, 101:130–144.

  25. Fleming, M. J., Hrung, W. B., and Keane, F. M. (2010). Repo Market Effects of the Term Securities Lending Facility. American Economic Review, 100(2):591–596.

  26. Frost, J. and van Stralen, R. (2018). Macroprudential policy and income inequality. Journal of International Money and Finance, (85):278–290.

  27. Gebauer, S. and Mazelis, F. (2020). Macroprudential regulation and leakage to the shadow banking sector.

  28. Gorton, G. and Metrick, A. (2012). Securitized banking and the run on repo. Journal of Finanial Economics, 104(3):425–451.

  29. Grill, M., Jakovicka, J., Lambert, C., Nicoloso, P., Steininger, L., and Wedow, M. (2017). Recent developments in euro area repo markets, regulatory reforms and their impact on repo market functioning. ECB Financial Stability Review November 2017 – Special features.

  30. Hau, H., Hoffmann, P., Langfield, S., and Timmer, Y. (2017). Discriminatory pricing of over-the-counter derivatives. ESRB Working Paper No. 61.

  31. He, Z., Nagel, S., and Song, Z. (2021). Treasury inconvenience yields during the COVID-19 crisis. Journal of Financial Economics.
    Paper not yet in RePEc: Add citation now
  32. Hinterschweiger, M., Khairnar, K., Ozden, T., and Stratton, T. (2021). Macroprudential policy interactions in a sectoral DSGE model with staggered interest rates. Bank of England Staff Working Paper No. 904.

  33. Huang, W. and Takáts, E. (2020). The CCP-bank nexus in the time of Covid-19. BIS Bulletin No. 13, Bank for International Settlements.

  34. Hüser, A.-C., Lepore, C., and Veraart, L. (2021). How do secured funding markets behave under stress? Evidence from the gilt repo market. Bank of England Staff Working Paper No. 910.

  35. ICMA (2016). Impacts of the Net Stable Funding Ratio on Repo and Collateral Markets.
    Paper not yet in RePEc: Add citation now
  36. In Table B1 we provide descriptive statistics of the variables we use in this study. We report the aggregate statistics although the underlying is calculated at the institution level, and volumes and prices are reported at daily and quarterly frequencies as both are used in our analysis. In Panel A, the descriptive statistics of the regulatory ratios for the sample of institutions used in this study are presented. The LR is on average 4.69%, with a minimum value of 1.18% and a maximum value of 9.44%. The Tier 1 CR is on average 16.39%,, ranging from 9.88% to 38.88%. Finally, the LCR is on average 156.94%, ranging from 110.00% to 455.32%. Overall, we note that banks have adjusted their ratios to above the minimum regulatory thresholds from as early as 2016 since they have preferred to hold significant buffers possibly due to market discipline.
    Paper not yet in RePEc: Add citation now
  37. Journal of Finance, 69(6):2343–2380. Corradin, S. and Maddaloni, A. (2020). The importance of being special: Repo markets during the crisis.

  38. Journal of Finanial Economics, 137(2):392–429. Cunliffe, J. (2020). The impact of leveraged investors on market liquidity and financial stability. Speech given at the Managed Funds Association Global Summit 2020. Bank of England.
    Paper not yet in RePEc: Add citation now
  39. Kotidis, A. and van Horen, N. (2018). Repo market functioning: the role of capital regulation. Bank of England Staff Working Paper No. 746.

  40. Krishnamurthy, A., Nagel, S., and Orlov, D. (2014). Sizing Up Repo. Journal of Finance, 69(6):2381–2417.

  41. Li, D. and Schürhoff, N. (2019). Dealer Networks. Journal of Finance, 74(1):91–144.
    Paper not yet in RePEc: Add citation now
  42. Macchiavelli, M. and Pettit, L. (2020). Liquidity Regulation and Financial Intermediaries. Journal of Financial and Quantitative Analysis, pages 1–57.
    Paper not yet in RePEc: Add citation now
  43. Mancini, L., Ranaldo, A., and Wrampelmeyer, J. (2016). The Euro Interbank Repo Market. Review of Financial Studies, 29(7):1747–1779.

  44. Martin, A., Skeie, D., and von Thadden, E.-L. (2014). Repo Runs. Review of Financial Studies, 27(4):957– 989.
    Paper not yet in RePEc: Add citation now
  45. Millard, S., Rubio, M., and Varadi, A. (2021). The macroprudential toolkit: effectiveness and interactions.

  46. OECD (2021). The COVID-19 crisis and banking system resilience Simulation of losses on non-performing loans and policy implications. Technical report, OECD Paris.
    Paper not yet in RePEc: Add citation now
  47. PRA (2017). UK leverage ratio: treatment of claims on central banks. Prudential Regulation Authority Policy Statement 21/17.
    Paper not yet in RePEc: Add citation now
  48. PRA (2020). Q&A on the use of Liquidity and Capital Buffers. Prudential Regulation Authority Policy Statement 15/20.
    Paper not yet in RePEc: Add citation now
  49. Ranaldo, A., Schaffner, P., and Vasios, M. (2021). Regulatory effects on short-term interest rates. Journal of Finanial Economics, 141(2):750–770.

  50. Vo, Q.-A. (2021). Interactions of capital and liquidity requirements: a review of the literature. Bank of England Staff Working Paper No. 916.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Window dressing of regulatory metrics: Evidence from repo markets. (2024). Waibel, Martin ; Grill, Michael ; Behn, Markus ; Bassi, Claudio.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000147.

    Full description at Econpapers || Download paper

  2. “Thank me later”: Why is (macro)prudence desirable?. (2024). Roulund, Rasmus Pank ; Kuchler, Andreas ; Gerba, Eddie ; Cokayne, Graeme.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000123.

    Full description at Econpapers || Download paper

  3. Bank Risk Literature (1978–2022): A Bibliometric Analysis and Research Front Mapping. (2023). , Abdallah ; Omran, Mohamed ; Khatatbeh, Ibrahim N ; Abdelwahed, Ahmed S ; Marie, Mohamed ; Qi, Baolei.
    In: Sustainability.
    RePEc:gam:jsusta:v:15:y:2023:i:5:p:4508-:d:1086194.

    Full description at Econpapers || Download paper

  4. CEO network centrality and bank risk: Evidence from US Bank holding companies. (2023). Jin, Pengcheng ; Jiang, Yuxiang ; Fan, Yaoyao ; Mai, Yong.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:83:y:2023:i:c:s0929119923001505.

    Full description at Econpapers || Download paper

  5. Window dressing of regulatory metrics: evidence from repo markets. (2023). Waibel, Martin ; Grill, Michael ; Behn, Markus ; Bassi, Claudio.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20232771.

    Full description at Econpapers || Download paper

  6. The ring-fencing bonus. (2023). Thanassoulis, John ; Neamtu, Ioana ; Erten, Irem.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0999.

    Full description at Econpapers || Download paper

  7. COVID-19 as a stress test: Assessing the bank regulatory framework. (2022). Wang, KE ; Ranish, Ben ; Mooney, Timothy ; Martinez, Francis ; Maddrey, Alice ; Loudis, Bert ; Iercosan, Diana ; Horvath, Akos ; Duncan, Elizabeth ; Wix, Carlo ; Warusawitharana, Missaka.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:61:y:2022:i:c:s1572308922000419.

    Full description at Econpapers || Download paper

  8. Reserve tiering and the interbank market. (2021). Wrampelmeyer, Jan ; Fuhrer, Lucas ; Zwicker, Matthias ; Juttner, Matthias.
    In: Working Papers.
    RePEc:snb:snbwpa:2021-17.

    Full description at Econpapers || Download paper

  9. Bank Capital Buffer and Economic Growth: New Insights from the US Banking Sector. (2021). Yousaf, Imran ; Wong, Wing-Keung ; Abbas, Faisal ; Ali, Shoaib.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:142-:d:523474.

    Full description at Econpapers || Download paper

  10. The Real Consequences of Macroprudential FX Regulations. (2021). Jung, Hyeyoon.
    In: Staff Reports.
    RePEc:fip:fednsr:93271.

    Full description at Econpapers || Download paper

  11. Reciprocal lending relationships in shadow banking. (2021). Li, YI.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:141:y:2021:i:2:p:600-619.

    Full description at Econpapers || Download paper

  12. Bond market intermediation and the Role of Repo. (2021). Infante, Sebastian ; Huh, Yesol.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302612.

    Full description at Econpapers || Download paper

  13. Capital allocation, the leverage ratio requirement. (2021). Vo, Quynh-Anh ; Neamtu, Ioana.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0956.

    Full description at Econpapers || Download paper

  14. The repo market under Basel III. (2021). Katsoulis, Petros ; Gerba, Eddie.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0954.

    Full description at Econpapers || Download paper

  15. Bank Leverage Limits and Regulatory Arbitrage: Old Question?New Evidence. (2020). Choi, Dong Beom ; Morgan, Donald P ; Holcomb, Michael R.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:52:y:2020:i:s1:p:241-266.

    Full description at Econpapers || Download paper

  16. Liquidity, Interbank Network Topology and Bank Capital. (2020). Mahdavi Ardekani, Aref.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:20022.

    Full description at Econpapers || Download paper

  17. Liquidity, Interbank Network Topology and Bank Capital. (2020). Mahdavi Ardekani, Aref.
    In: Post-Print.
    RePEc:hal:journl:halshs-02967226.

    Full description at Econpapers || Download paper

  18. Liquidity, Interbank Network Topology and Bank Capital. (2020). Mahdavi Ardekani, Aref.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-02967226.

    Full description at Econpapers || Download paper

  19. The leverage ratio and liquidity in the gilt and gilt repo markets. (2020). Elliott, David ; Bicu-Lieb, Andreea ; Chen, Louisa.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118302039.

    Full description at Econpapers || Download paper

  20. Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas.
    In: Working Papers Series.
    RePEc:bcb:wpaper:540.

    Full description at Econpapers || Download paper

  21. The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption. (2019). Watugala, Sumudu ; Munyan, Benjamin ; Cetina, Jill ; Allahrakha, Meraj.
    In: Working Papers.
    RePEc:ofr:wpaper:19-02.

    Full description at Econpapers || Download paper

  22. MANAGING RISK TAKING WITH INTEREST RATE POLICY AND MACROPRUDENTIAL REGULATIONS. (2019). Shukayev, Malik ; Cociuba, Simona ; Ueberfeldt, Alexander.
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:57:y:2019:i:2:p:1056-1081.

    Full description at Econpapers || Download paper

  23. Bank leverage limits and regulatory arbitrage: new evidence on a recurring question. (2018). Morgan, Donald ; Choi, Dong Beom ; Holcomb, Michael R.
    In: Staff Reports.
    RePEc:fip:fednsr:856.

    Full description at Econpapers || Download paper

  24. Review of New York Fed studies on the effects of post-crisis banking reforms. (2018). santos, joao ; Crump, Richard.
    In: Economic Policy Review.
    RePEc:fip:fednep:00050.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-04 16:51:08 || Create a citation alert || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.