Matches in SemOpenAlex for { <https://semopenalex.org/work/W2968431092> ?p ?o ?g. }
Showing items 1 to 98 of
98
with 100 items per page.
- W2968431092 endingPage "105610" @default.
- W2968431092 startingPage "105610" @default.
- W2968431092 abstract "Using a novel dataset, we study intraday trades of overnight general collateral repurchase agreements (repos) on Italian government bonds. We focus both on repos cleared by central counterparties (CCPs) and traded bilaterally. Intraday bond supply, liquidity and duration significantly affect the spread of repo rates over the European Central Bank (ECB) deposit rate, but after the ECB quantitative easing interventions this impact is much reduced. During the European sovereign debt crisis, the increase in margins further deteriorates repo costs, creating a negative procyclical effect. Once we control for the impact of margin costs, CCP-based repos do not appear to be significantly cheaper than bilateral repos. We also show that bonds with lower liquidity and specialness, greater supply and longer duration are more likely to be selected as collateral. However, during the crisis, CCP-repo borrowers choose collateral bonds with higher liquidity and lower duration to reduce margin and repo trading costs." @default.
- W2968431092 created "2019-08-22" @default.
- W2968431092 creator A5001853669 @default.
- W2968431092 creator A5005601737 @default.
- W2968431092 creator A5026891016 @default.
- W2968431092 date "2019-10-01" @default.
- W2968431092 modified "2023-10-18" @default.
- W2968431092 title "Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos" @default.
- W2968431092 cites W1519731369 @default.
- W2968431092 cites W1983828396 @default.
- W2968431092 cites W1993683329 @default.
- W2968431092 cites W2001843182 @default.
- W2968431092 cites W2050344215 @default.
- W2968431092 cites W2064272907 @default.
- W2968431092 cites W2065463827 @default.
- W2968431092 cites W2107538274 @default.
- W2968431092 cites W2112352537 @default.
- W2968431092 cites W2152150430 @default.
- W2968431092 cites W2160148691 @default.
- W2968431092 cites W2165623041 @default.
- W2968431092 cites W2439610192 @default.
- W2968431092 cites W2605502891 @default.
- W2968431092 cites W2616672934 @default.
- W2968431092 cites W3121168636 @default.
- W2968431092 cites W3121630491 @default.
- W2968431092 cites W3122433581 @default.
- W2968431092 cites W3123017918 @default.
- W2968431092 cites W3123963359 @default.
- W2968431092 cites W4211015381 @default.
- W2968431092 cites W4233454717 @default.
- W2968431092 doi "https://doi.org/10.1016/j.jbankfin.2019.105610" @default.
- W2968431092 hasPublicationYear "2019" @default.
- W2968431092 type Work @default.
- W2968431092 sameAs 2968431092 @default.
- W2968431092 citedByCount "4" @default.
- W2968431092 countsByYear W29684310922020 @default.
- W2968431092 countsByYear W29684310922021 @default.
- W2968431092 countsByYear W29684310922022 @default.
- W2968431092 crossrefType "journal-article" @default.
- W2968431092 hasAuthorship W2968431092A5001853669 @default.
- W2968431092 hasAuthorship W2968431092A5005601737 @default.
- W2968431092 hasAuthorship W2968431092A5026891016 @default.
- W2968431092 hasBestOaLocation W29684310922 @default.
- W2968431092 hasConcept C10138342 @default.
- W2968431092 hasConcept C119857082 @default.
- W2968431092 hasConcept C126894567 @default.
- W2968431092 hasConcept C138944611 @default.
- W2968431092 hasConcept C144133560 @default.
- W2968431092 hasConcept C162324750 @default.
- W2968431092 hasConcept C175025494 @default.
- W2968431092 hasConcept C183582576 @default.
- W2968431092 hasConcept C2777910564 @default.
- W2968431092 hasConcept C2780389337 @default.
- W2968431092 hasConcept C41008148 @default.
- W2968431092 hasConcept C42628150 @default.
- W2968431092 hasConcept C556758197 @default.
- W2968431092 hasConcept C69738904 @default.
- W2968431092 hasConcept C71924100 @default.
- W2968431092 hasConcept C73283319 @default.
- W2968431092 hasConcept C774472 @default.
- W2968431092 hasConceptScore W2968431092C10138342 @default.
- W2968431092 hasConceptScore W2968431092C119857082 @default.
- W2968431092 hasConceptScore W2968431092C126894567 @default.
- W2968431092 hasConceptScore W2968431092C138944611 @default.
- W2968431092 hasConceptScore W2968431092C144133560 @default.
- W2968431092 hasConceptScore W2968431092C162324750 @default.
- W2968431092 hasConceptScore W2968431092C175025494 @default.
- W2968431092 hasConceptScore W2968431092C183582576 @default.
- W2968431092 hasConceptScore W2968431092C2777910564 @default.
- W2968431092 hasConceptScore W2968431092C2780389337 @default.
- W2968431092 hasConceptScore W2968431092C41008148 @default.
- W2968431092 hasConceptScore W2968431092C42628150 @default.
- W2968431092 hasConceptScore W2968431092C556758197 @default.
- W2968431092 hasConceptScore W2968431092C69738904 @default.
- W2968431092 hasConceptScore W2968431092C71924100 @default.
- W2968431092 hasConceptScore W2968431092C73283319 @default.
- W2968431092 hasConceptScore W2968431092C774472 @default.
- W2968431092 hasLocation W29684310921 @default.
- W2968431092 hasLocation W29684310922 @default.
- W2968431092 hasOpenAccess W2968431092 @default.
- W2968431092 hasPrimaryLocation W29684310921 @default.
- W2968431092 hasRelatedWork W1555570415 @default.
- W2968431092 hasRelatedWork W2183143869 @default.
- W2968431092 hasRelatedWork W2197608765 @default.
- W2968431092 hasRelatedWork W2298500391 @default.
- W2968431092 hasRelatedWork W2767831686 @default.
- W2968431092 hasRelatedWork W2968431092 @default.
- W2968431092 hasRelatedWork W3083401026 @default.
- W2968431092 hasRelatedWork W3121806121 @default.
- W2968431092 hasRelatedWork W3123174703 @default.
- W2968431092 hasRelatedWork W3123547405 @default.
- W2968431092 hasVolume "107" @default.
- W2968431092 isParatext "false" @default.
- W2968431092 isRetracted "false" @default.
- W2968431092 magId "2968431092" @default.
- W2968431092 workType "article" @default.