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Bond liquidity premia
Fontaine, Jean-Sébastien; Garcia, René - 2009
. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an … arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An … increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on …
Persistent link: https://www.econbiz.de/10003933337
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Collateral choice
Ballensiefen, Benedikt - 2022
Persistent link: https://www.econbiz.de/10013365359
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The Fed's central bank swap lines and FIMA repo facility
Choi, Mark; Goldberg, Linda S.; Lerman, Robert Irving; … - 2021
Building on the facility design and application experience from the period of the global financial crisis, in March 2020 the Federal Reserve eased the terms on its standing swap lines in collaboration with other central banks, reactivated temporary swap agreements, and then introduced the new...
Persistent link: https://www.econbiz.de/10012625891
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Bond market intermediation and the Role of Repo
Huh, Yesol; Infante, Sebastian - In: Journal of banking & finance 122 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012659664
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Bond market intermediation and the role of repo
Huh, Yesol; Infante, Sebastian - 2017
This paper models the important role that repurchase agreements (repos) play in bond market intermediation. Not only do repos allow dealers to finance their activities, but they also increase dealers' ability to satisfy levered client demands without having to adjust their holdings of risky...
Persistent link: https://www.econbiz.de/10011708091
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Liquidity risk and specialness
Buraschi, Andrea; Menini, Davide - In: Journal of financial economics 64 (2002) 2, pp. 243-284
Persistent link: https://www.econbiz.de/10001673466
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The Fed’s central bank swap lines and FIMA repo facility
Choi, Mark; Goldberg, Linda S.; Lerman, Robert Irving; … - In: Economic policy review 28 (2022) 1, pp. 93-113
Persistent link: https://www.econbiz.de/10013329766
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Special repo rates and the cross-section of bond prices : the role of the special collateral risk premium*
D'Amico, Stefania; Pancost, N. Aaron - In: Review of finance : journal of the European Finance … 26 (2022) 1, pp. 117-162
Persistent link: https://www.econbiz.de/10012878874
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Special Repo Rates and the Cross-Section of Bond Prices
D'Amico, Stefania - 2019
We estimate a dynamic no-arbitrage term structure model that jointly prices the cross-section of Treasury bonds and special repo rates. We show that special repo rates on on-the-run Treasuries can explain almost 80% of the on-the-run premium, but only after incorporating a time-varying risk...
Persistent link: https://www.econbiz.de/10012899124
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Special repo rates and the cross-section of bond prices : the role of the special collateral risk premium
D'Amico, Stefania; Pancost, N. Aaron - 2018 - This version: December 3, 2018
We estimate the joint term-structure of U.S. Treasury cash and repo rates using daily prices of all outstanding Treasury securities and corresponding special collateral (SC) repo rates. This allows us to derive a risk premium associated to the SC value of Treasuries and quantitatively link this...
Persistent link: https://www.econbiz.de/10011938061