In the research project “Financial Crises, Political Constraints, and Policy Responses,” granted by the Institute for New Economic Thinking (INET), we assembled a comprehensive dataset on the political and social landscape around periods of financial crises, collecting new data on the policy responses to these crises.
In my paper “Liquidity, Government Bonds, and Sovereign Debt Crises,” I constructed a new dataset on the haircuts set by the clearing house LCH.Clearnet Ltd on ten-year government bonds, using the narrative approach by reading the RepoClear Margin Rate Circulars. In the paper “Repurchase Agreements and the European Sovereign Debt Crisis: The Role of European Clearinghouses,” we extended this dataset with the haircuts applied by other major European Central Counterparties (CCPs) on government bonds. Data on repo haircuts can be provided upon request (write to me at francesco.molteni@gmail.com).