Liquidity in the repo market
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DOI: 10.1016/j.jimonfin.2018.02.005
Abstract: This paper examines liquidity in the Swiss franc repurchase (repo) market and assesses its determinants using a proprietary dataset ranging from 2006 to 2016. I find that repo market liquidity has a distinct intraday pattern,… read more here.
Keywords: market liquidity; repo market; liquidity repo; market ... See more keywords