The Scarcity Value of Treasury Collateral : Repo Market Effects of Security-Specific Supply and Demand Factors
In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S. Treasury securities. We find an economically and statistically significant scarcity premium. This scarcity effect is quite persistent, passes through to Treasury market prices, and explains a significant portion of the flow-effects of LSAP programs, providing additional evidence for the scarcity channel of QE. Through the same mechanism, the Fed's reverse repo operations could alleviate potential shortages of high-quality collateral
Year of publication: |
2014
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Authors: | D'Amico, Stefania |
Other Persons: | Fan, Roger (contributor) ; Kitsul, Yuriy (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Treasury bonds | repo contracts | supply-demand factors | liquidity | Large Scale Asset Purchase programs | Treasury auctions | Staatspapier | Government securities | Repo-Geschäft | Repo transactions | Öffentliche Anleihe | Public bond | Liquidität | Liquidity | Auktion | Auction |
Saved in:
freely available
Extent: | 1 Online-Ressource (52 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 29, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2363708 [DOI] |
Classification: | G1 - General Financial Markets ; G12 - Asset Pricing ; G19 - General Financial Markets. Other ; C23 - Models with Panel Data ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013061905