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The Scarcity Value of Treasury Collateral : Repo Market Effects of Security-Specific Supply and Demand Factors
D'Amico, Stefania - 2015
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....
Persistent link: https://www.econbiz.de/10013032735
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The Scarcity Value of Treasury Collateral : Repo Market Effects of Security-Specific Supply and Demand Factors
D'Amico, Stefania - 2014
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....
Persistent link: https://www.econbiz.de/10013061905
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The scarcity value of treasury collateral : repo-market effects of security-specific supply and demand factors
D'Amico, Stefania; Fan, Roger; Kitsul, Yuriy - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 2103-2129
Persistent link: https://www.econbiz.de/10011959074
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Fear and loathing in the market for US Treasuries and the clearing nostrum
Pirrong, Craig - In: Journal of applied corporate finance : JACF 36 (2024) 1, pp. 29-33
Persistent link: https://www.econbiz.de/10014535719
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The Federal Reserve balance sheet
Dawsey, Kristopher; English, William B.; Sack, Brian - In: Research handbook of financial markets, (pp. 6-32). 2023
Persistent link: https://www.econbiz.de/10014331034
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The effects of volatility on liquidity in the treasury market
Meldrum, Andrew; Sokolinskiy, Oleg - 2023
Persistent link: https://www.econbiz.de/10014284237
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Treasury safety, liquidity, and money premium dynamics : evidence from debt limit impasses
Cashin, David; Syron Ferris, Erin E.; Klee, Elizabeth - In: Journal of money, credit and banking : JMCB 55 (2023) 6, pp. 1475-1506
Persistent link: https://www.econbiz.de/10014364318
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A study on the negative externality of USD liquidity : based on the asset allocation efficiency of us treasury securities
Lu, Chang Rong; Li, Jia Xiang; Yi, Sheng - In: The Singapore economic review 68 (2023) 6, pp. 2051-2079
Persistent link: https://www.econbiz.de/10014500384
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Dealer capacity and U.S. treasury market functionality
Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023 - Revised October 2023
market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …
Persistent link: https://www.econbiz.de/10014393396
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Dealer capacity and US treasury market functionality
Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023
Persistent link: https://www.econbiz.de/10014414405