SSRNTrading, Microstructure & Execution
Stop believing in haircuts - at least the way you think about them
The study shows that dealer balance-sheet constraints, collateral convenience yields, and client outside options jointly determine repo haircuts, with leverage ratios reshaping market functioning and monetary policy transmission.
Featured in No. 135 on 16 Oct 2026 · on release day
- Released
- 16 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7618239
- Authors
- Benedikt Ballensiefen et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).