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References

20 Jan 2021 RDP 2021-01
Nicholas Garvin, David W Hughes and José-Luis Peydró
De Fiore F, M Hoerova and H Uhlig (2018), ‘Money Markets, Collateral and Monetary Policy’, NBER Working Paper No 25319. ... di Filippo M, A Ranaldo and J Wrampelmeyer (2018), ‘Unsecured and Secured Funding’, Unpublished manuscript, April.
https://www.rba.gov.au/publications/rdp/2021/2021-01/references.html

The Role of Collateral in Borrowing

20 Jan 2021 RDP 2021-01
Nicholas Garvin, David W Hughes and José-Luis Peydró
Usually m. {unsecured, repo}; in Section 4.4 repo is separated into two markets by collateral type. ... β. ). ε. l. b. d. m. where. β. is the coefficient vector of interest.
https://www.rba.gov.au/publications/rdp/2021/2021-01/full.html

Empirical Strategy

20 Jan 2021 RDP 2021-01
Nicholas Garvin, David W Hughes and José-Luis Peydró
m. =. α. l. b. d. 1. s. (. γ. X. ... β. ). ε. l. b. d. m. where. β. is the coefficient vector of interest.
https://www.rba.gov.au/publications/rdp/2021/2021-01/empirical-strategy.html

Institutional Background and Data

20 Jan 2021 RDP 2021-01
Nicholas Garvin, David W Hughes and José-Luis Peydró
To construct LoanValues. lbdm. , we sum all loans from lender l to borrower b that occurred in market m and were open at the end of day d. ... Usually m. {unsecured, repo}; in Section 4.4 repo is separated into two markets by collateral type.
https://www.rba.gov.au/publications/rdp/2021/2021-01/institutional-background-and-data.html

The Repo and Unsecured Markets' Reactions to Stress

20 Jan 2021 RDP 2021-01
Nicholas Garvin, David W Hughes and José-Luis Peydró
m). Regressand: LoanValues. lbdm. 1. s. LB. d. CPRisk. b. Collateral. ... k). (l). (m). (n). (o). (p). LB. d. CPRisk. l. 0.065.
https://www.rba.gov.au/publications/rdp/2021/2021-01/the-repo-and-unsecured-markets-reactions-to-stress.html