Macro-International Seminar with Carlos Ramirez Correa (FRB)

Wed, 12 April, 2023 6:30pm

Carlos Ramirez Correa at the Federal Reserve Board will present his work, " The Anatomy of U.S. Overnight Triparty Repo Markets".

 

Abstract: Using a comprehensive supervisory dataset, we establish novel stylized facts about how the U.S. overnight triparty repo market operates. Besides uncovering these facts, we show that overnight triparty repo pricing depends on a delicate interplay between the number of counterparties participants use to secure their transactions, the identity of such counterparties, and the diversification of trading activity among them. Importantly, such an interplay can be materially reshaped in times of stress. We also show that changes in architectural features of the trading network among market participants are associated with changes in average rates and trading volume.

 

 

This seminar will be in-person.

Please sign up for our seminars listserv to receive the details.


Share This Event