{"id":"https://openalex.org/W2805642736","doi":null,"title":"Essays on the repo market","display_name":"Essays on the repo market","publication_year":2018,"publication_date":"2018-01-01","ids":{"openalex":"https://openalex.org/W2805642736","mag":"2805642736"},"language":"en","primary_location":{"id":"pmh:oai:centaur.reading.ac.uk:76521","doi":null,"is_oa":false,"landing_page_url":"https://centaur.reading.ac.uk/view/creators/90007902.html>","pdf_url":null,"source":{"id":"https://openalex.org/S4306402273","display_name":"CentAUR (University of Reading)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I71052956","host_organization_name":"University of Reading","host_organization_lineage":["https://openalex.org/I71052956"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"Thesis"},"volume":null,"type":"dissertation","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026891016","display_name":"Ivan Sangiorgi","orcid":"https://orcid.org/0000-0002-8344-9983","observed_orcids":["https://orcid.org/0000-0002-8344-9983"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Ivan Sangiorgi","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-8344-9983","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5026891016"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9077000021934509,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9077000021934509,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.028200000524520874,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.013700000010430813,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/repurchase-agreements","display_name":"repurchase agreements","score":0.8960000276565552},{"id":"https://openalex.org/keywords/repo-market","display_name":"repo market","score":0.7229999899864197},{"id":"https://openalex.org/keywords/collateral-risk","display_name":"collateral risk","score":0.5329999923706055},{"id":"https://openalex.org/keywords/sovereign-debt-markets","display_name":"sovereign bond markets","score":0.7329999804496765},{"id":"https://openalex.org/keywords/italian-government-bonds","display_name":"Italian government bonds","score":0.7480000257492065},{"id":"https://openalex.org/keywords/treasury-auctions","display_name":"Treasury auctions","score":0.8870000243186951},{"id":"https://openalex.org/keywords/central-bank-liquidity-provision","display_name":"central bank liquidity provision","score":0.5509999990463257},{"id":"https://openalex.org/keywords/risk-premium","display_name":"risk premium","score":0.5569999814033508},{"id":"https://openalex.org/keywords/money-market","display_name":"money market","score":0.4189999997615814}],"concepts":[{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.7920253872871399},{"id":"https://openalex.org/C42628150","wikidata":"https://www.wikidata.org/wiki/Q169357","display_name":"Repurchase agreement","level":3,"score":0.7898553609848022},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.7377486228942871},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.5963066816329956},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.5364312529563904},{"id":"https://openalex.org/C2780889827","wikidata":"https://www.wikidata.org/wiki/Q10756188","display_name":"Treasury","level":2,"score":0.45315811038017273},{"id":"https://openalex.org/C2777910564","wikidata":"https://www.wikidata.org/wiki/Q694563","display_name":"Collateral","level":2,"score":0.4397532343864441},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.3874254822731018},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.33723145723342896},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1984536349773407},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C95457728","wikidata":"https://www.wikidata.org/wiki/Q309","display_name":"History","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:centaur.reading.ac.uk:76521","doi":null,"is_oa":false,"landing_page_url":"https://centaur.reading.ac.uk/view/creators/90007902.html>","pdf_url":null,"source":{"id":"https://openalex.org/S4306402273","display_name":"CentAUR (University of Reading)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I71052956","host_organization_name":"University of Reading","host_organization_lineage":["https://openalex.org/I71052956"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"Thesis"},{"id":"mag:2805642736","doi":null,"is_oa":false,"landing_page_url":"https://centaur.reading.ac.uk/76521/","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W1480782057","https://openalex.org/W1494167427","https://openalex.org/W1519731369","https://openalex.org/W1603375926","https://openalex.org/W1929539829","https://openalex.org/W1983828396","https://openalex.org/W1993683329","https://openalex.org/W1995532622","https://openalex.org/W2001843182","https://openalex.org/W2003461301","https://openalex.org/W2027622376","https://openalex.org/W2045021986","https://openalex.org/W2046331901","https://openalex.org/W2050344215","https://openalex.org/W2055310276","https://openalex.org/W2063871799","https://openalex.org/W2064272907","https://openalex.org/W2065463827","https://openalex.org/W2107538274","https://openalex.org/W2108817744","https://openalex.org/W2108818539","https://openalex.org/W2112352537","https://openalex.org/W2117747292","https://openalex.org/W2118859991","https://openalex.org/W2152150430","https://openalex.org/W2167236726","https://openalex.org/W2238304378","https://openalex.org/W2616672934","https://openalex.org/W2736856725","https://openalex.org/W2890758903","https://openalex.org/W2968216438","https://openalex.org/W2972418038","https://openalex.org/W3023906401","https://openalex.org/W3121396175","https://openalex.org/W3121515669","https://openalex.org/W3121630491","https://openalex.org/W3122197297","https://openalex.org/W3122433581","https://openalex.org/W3122487503","https://openalex.org/W3123017918","https://openalex.org/W3123302557","https://openalex.org/W3123337268","https://openalex.org/W3123385193","https://openalex.org/W3124123972","https://openalex.org/W3124785176","https://openalex.org/W3124903275","https://openalex.org/W3125171256"],"related_works":["https://openalex.org/W2968431092","https://openalex.org/W2767831686","https://openalex.org/W7100139650","https://openalex.org/W2605502891","https://openalex.org/W2183143869","https://openalex.org/W4320925234","https://openalex.org/W2998288860","https://openalex.org/W7068872660","https://openalex.org/W7117154903","https://openalex.org/W1483282862"],"abstract_inverted_index":{"This":[0],"thesis":[1],"contributes":[2],"to":[3,237,262,295],"the":[4,10,22,27,32,35,39,43,46,50,57,69,102,106,112,138,142,145,153,164,168,177,180,191,196,199,212,216,230,247,274,279],"broad":[5],"body":[6],"of":[7,12,26,34,59,72,132,141,147,179,218,232,249,273],"research":[8],"in":[9,38,163,167,221],"area":[11],"money":[13],"markets,":[14,41],"and":[15,42,49,65,94,101,152,190,211],"focuses":[16],"on":[17,68,241,271],"repurchase":[18],"agreements":[19],"(repos).":[20],"In":[21],"three":[23],"main":[24],"chapters":[25],"thesis,":[28],"I":[29,55,80,88,116,136,225],"empirically":[30],"investigate":[31],"determinants":[33],"funding":[36,174],"liquidity":[37,175,184,193],"repo":[40,47,63,82,86,96,113,159,188,201,209,251,276],"interconnections":[44],"between":[45,144],"markets":[48],"sovereign":[51,60],"bond":[52,61,92,99,123,204],"markets.":[53],"First,":[54],"evaluate":[56],"impact":[58],"riskiness,":[62,95,187,189],"riskiness":[64],"treasury":[66],"auctions":[67],"security-specific":[70],"costs":[71,214,281],"procuring":[73],"Italian":[74,148,242],"government":[75],"bonds":[76,219],"as":[77,244,246],"collaterals":[78],"(which":[79],"call":[81],"specialness)":[83],"for":[84,120,182],"1-day":[85],"contracts.":[87],"provide":[89],"evidence":[90],"that":[91,171,288],"supply":[93],"liquidity,speculative":[97],"demand,":[98],"fire-sales":[100],"unconventional":[103],"interventions":[104],"by":[105,195],"European":[107],"Central":[108],"Bank":[109],"(ECB)":[110],"drive":[111],"specialness.":[114],"Additionally,":[115],"identify":[117],"recurrent":[118],"patterns":[119],"specialness":[121,210],"around":[122],"auctions,":[124],"which":[125,227],"are":[126,260,282],"consistent":[127],"with":[128,235],"an":[129],"overbidding":[130],"behaviour":[131],"primary":[133],"dealers.":[134],"Next,":[135],"explain":[137,229],"intraday":[139,158,200],"variations":[140],"spread":[143,160],"rate":[146,277],"GC":[149,222],"overnight":[150],"repos":[151,234,240,259],"ECB":[154,197],"deposit":[155],"rate.":[156],"The":[157],"is":[161],"higher":[162,289],"morning":[165],"than":[166],"afternoon,":[169],"suggesting":[170,287],"banks":[172,266],"ensure":[173],"at":[176],"beginning":[178],"day":[181],"prudential":[183],"management.":[185],"Collateral":[186],"excess":[192],"provided":[194],"affect":[198],"spread.":[202],"Moreover,":[203],"supply,":[205],"liquidity,":[206],"modified":[207],"duration,":[208],"margin":[213,280],"determine":[215],"selection":[217],"used":[220],"repos.":[223,264],"Finally,":[224],"analyse":[226],"factors":[228],"use":[231],"CCP-based":[233],"respect":[236],"bilaterally-traded":[238],"(BIL)":[239],"Treasuries,":[243],"well":[245],"difference":[248],"their":[250,284],"rates.":[252],"When":[253],"general":[254],"market":[255],"uncertainty":[256],"increases,":[257],"CCP":[258],"preferred":[261],"bilateral-traded":[263],"However,":[265],"demand":[267],"a":[268],"risk":[269],"premium":[270],"top":[272],"BIL":[275],"when":[278],"above":[283],"median":[285],"value,":[286],"margins":[290],"make":[291],"it":[292],"less":[293],"attractive":[294],"trade":[296],"via":[297],"CCPs.":[298]},"counts_by_year":[],"updated_date":"2026-09-26T08:19:03.415552","created_date":"2018-06-13T00:00:00"}
