TY  - UNPD
A1  - Jank, Stephan
A1  - Mönch, Emanuel
A1  - Schneider, Michael
T1  - Safe asset shortage and collateral reuse
T2  - SAFE working paper ; No. 355
N2  - The reuse of collateral can support the efficient allocation of safe assets in the financial system. Exploiting a novel dataset, we show that banks substantially increase their reuse of sovereign bonds in response to scarcity induced by Eurosystem asset purchases. While repo rates react little to purchase-induced scarcity when reuse is low, they become increasingly sensitive at high levels of reuse. An elevated reuse rate is also associated with more failures to deliver and a higher volatility of repo rates in the cross-section of bonds. Our results highlight the trade-off between shock absorption and shock amplification effects of collateral reuse.
T3  - SAFE working paper - 355 
KW  - safe assets
KW  - government bonds
KW  - collateral reuse
KW  - rehypothecation
KW  - repo market
KW  - securities lending
Y1  - 2022
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/64742
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-647427
UR  - https://ssrn.com/abstract=4179038
IS  - July 22, 2022
PB  - SAFE
CY  - Frankfurt am Main
ER  -