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SUMMARY:A Theory of Repurchase Agreements\, Collateral Re-use\, and Repo I
 ntermediation
DTSTART:20160923T103000
DTEND:20160923T120000
DTSTAMP:20260924T071640Z
UID:d2418d5c73cb662fa95e24f9dc6e452d2ed24a4a406dd34bab21ec99
CATEGORIES:Conferences - Seminars
DESCRIPTION:Piero GOTTARDI (European University Institute)\nThis paper cha
 racterizes repurchase agreements (repos) as equilibrium contracts starting
  from first principles. We show that a repo allows the borrower to augment
  its consumption today while hedging both agents against future market pri
 ce risk. As a result\, safer assets will command a lower haircut and a hig
 her liquidity premium relative to riskier assets. Haircuts may also be neg
 ative. When lenders can re-use the asset they receive in a repo\, we show 
 that there exists a collateral multiplier effect and borrowing increases. 
 In addition\, with collateral re-use\, lenders might also re-pledge the as
 set to third parties. In the model\, intermediation arises as an equilibri
 um choice of traders and trustworthy agents play a role as intermediary. T
 hese findings are helpful to rationalize chains of trades observed on the 
 repo market.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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