Finansal krizin repo farklarının bulaşma etkisine analizi

From August 9, 2007, the spread between unsecured (Libor) and secured money market rates (GC repo rate) increased sharply (hereafter ?repo spread?). This study aims to analyze effects of the current global crisis on repo spread contagion level between December 12, 2002 and June 30, 2009. I use Diebold and Yilmaz (2009) spillover index in order to calculate the contagion level of repo spreads. My findings suggest that the post-crisis contagion level of repo spreads is higher than pre-crisis period (2003-2007).