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Repo market is an important source of wholesale funding for the financial institutions. Ever since Great Financial Crisis, repo haircut has been seen as a crucial barometer of the well-functioning of financial market. Theory predicts that repo haircuts increase with the collateral risk and counterparty risk. Using a proprietary transaction-level dataset from China’s interbank bilateral repo market, the authors empirically examine the determinants of repo haircut and test the theoretical predictions. It was found that haircut is increasing in both the default risk and the illiquidity risk of the collateral. The authors also find that haircut of the same collateral can differ across trading counterparties. Haircut on transaction between small banks which act as intermediaries in repo market are significantly lower than other transactions with the same collateral, implying that trading relationship may have an impact on haircut besides counterparty default risk. The authors exploit an unexpected event, the Baoshang Bank takeover, as a shock on the default risk of the intermediaries to explore the interplay of these factors during crisis episodes. The authors find that the takeover raised haircut for downstream institutions borrowing from intermediaries that are similar to Baoshang Bank. The increase in the counterparty risk further caused a cross-the-board increase in the haircut on low-quality collaterals, suggesting an information spillover effect. The authors further explore the dynamics of the haircuts during the COVID-19 outbreak. The authors find that the haircuts increased for illiquid- and pandemic-sensitive collaterals. The authors do not find evidence to support an increase in the counterparty risk during the pandemic.

 

金融市场发展与经济增长息息相关。中国资本市场在规模、监管、能力和效率方面的发展令人印象深刻。在以电子支付系统为代表的某些方面,中国目前甚至可以在达到全球领先地位。然而,中国的资本市场仍处于发展之中,面临着一般性的和特有的挑战。其他亚洲资本市场面临着甚至更大的发展不均衡问题。某些亚洲发达经济体的资本市场已经获得了享誉全球的声誉和能力,在监管和结构上使得其他资本市场相形见绌。公司和投资者倾向于通过监管和发展差异进行套利,因此,亚洲资本市场的不平衡状况是亚洲地区乃至全球所面临的政策问题。分析亚洲资本市场运行中的正面和负面教训,并由此得出可以进一步改善亚洲资本市场分配效率、金融包容性和预警性的技术改革和应用,警惕可能会引起问题的改革,这可以使从业者、政策制定者和研究人员从中受益,进而极大地促进整体繁荣。

亚洲金融经济研究局(ABFER)和芝加哥大学贝克尔·弗里德曼研究所中国中心(BFI-China),与新加坡国立大学(NUS)商学院、上海高级金融学院(SAIF)、香港中文大学(CUHK)经济系、香港中文大学(深圳)和清华大学五道口金融学院(PBCSF)一同合作,希望通过提供一个线上交流平台,服务于亚洲及其他地区的研究人员、政策制定者和从业人员。

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研讨会时间安排

以下每场研讨会持续一个小时(作者展示30分钟,讨论15分钟,参与者问答15分钟)。

Agenda

Thursday, July 29, 2021

10 AM–11 AM

Hanming Fang, University of Pennsylvania

Discussant: Arvind Krishnamurthy, Stanford University

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