Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2016-11-15 DOI:10.1093/RAPSTU/RAW008

Sheen X. Liu, Chunchi Wu

引用次数: 3

Abstract

We propose a dynamic asset pricing model in which two assets with identical cash flows can trade at different prices not only because of differences in liquidity but counterparty risk. Counterparty risk reduces lenders or borrowers’ willingness to supply funds and collateral, incentives to shortsell and lend, and the likelihood for new bonds to be on special, thereby narrowing on-/off-the-run spreads and affecting asset prices in spot markets. Consistent with this prediction, we find that on-/off-the-run spreads are low when counterparty risk is high and this relationship is much stronger during the financial crisis.

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回购交易对手风险和运行/未运行的国债价差

本文提出了一种动态资产定价模型，在该模型中，具有相同现金流的两种资产可以以不同的价格进行交易，这不仅是因为流动性的差异，还因为交易对手风险的差异。交易对手风险降低了贷款人或借款人提供资金和抵押品的意愿，降低了卖空和放贷的动机，降低了新债券折价的可能性，从而收窄了现货市场上的利差并影响了资产价格。与这一预测相一致的是，我们发现，当交易对手风险较高时，在售利差较低，而在金融危机期间，这种关系更为密切。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.