@techreport{ad33233d3a6745e78ef029119510397d,
title = "Safe Asset Shortages: Evidence from the European Government Bond Lending Market",
abstract = "We identify the unique role of the government bond lending market in collateral transformation during periods of market stress. Using a novel database, we provide evidence that safe assets in the lending market have higher demand, higher borrowing cost, and higher usage of non-cash collateral relative to non-safe assets during stressed market conditions. Moreover, we find that market participants are able to obtain safe assets using relatively low-quality non-cash collateral, allowing for collateral transformation. We show that policy interventions by central banks can help reduce safe asset shortages by returning sought-after safe assets to the market.",
keywords = "safe asset, securities lending, velocity, European government bonds, collateral",
author = "Reena Aggarwal and Jennie Bai and Luc Laeven",
year = "2015",
month = nov,
day = "19",
doi = "10.2139/ssrn.2692251",
language = "English",
series = "Georgetown McDonough School of Business Research Paper No. 2692251",
publisher = "SSRN",
type = "WorkingPaper",
institution = "SSRN",
}