Date of Award
2-2022
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. Lucjan T. Orlowski
Committee Member
Dr. Ali M. Kutan
Committee Member
Dr. Lorán Chollete
Abstract
I examine the co-variance between tri-party repurchase agreement (repo) spreads and proxies for collateral values and counterparty risk. Since the Global Financial Crisis of 2008 (GFC), the Federal Reserve (Fed) has taken measures to mitigate repo market instability. These measures have collectively placed the Fed astride repo markets as ongoing borrower, lender and purchaser of US Treasury and Agency securities. By analyzing the relationships between repo spreads, the US 10-year yield and the TED spread, I assess the effectiveness of Fed measures to mitigate repo market instability. Using multiple breakpoint Bai-Perron regression and Markov Switching tests, I find that these measures have been effective, with accompanying unintended consequences.
JEL Classification
C14, C58, G10, G14
Recommended Citation
Frank, S. H. (2022). Securing repo: Counterparty risk and collateral supply effects in the tri-party repo market. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT. Retrieved from https://digitalcommons.sacredheart.edu/wcob_theses/25/
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
Submitted as partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance Sacred Heart University, Jack Welch College of Business and Technology, Sacred Heart University.
Dissertation Number DBA01/2022.