Special Repo Rates and the Cross-Section of Bond Prices

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2018-05-14 DOI:10.2139/ssrn.3190606

Stefania D’Amico, N. A. Pancost

引用次数: 8

Abstract

We price the risky component of specialness spreads—identified by their deviations from the expected auction cycle—within a dynamic term structure model estimated using daily prices of all outstanding Treasury securities and corresponding special collateral (SC) repo rates. This allows us to derive a time-varying SC risk premium that we quantitatively link to various price anomalies, such as the on-the-run premium. The SC risk premium explains about 80% of the on-the-run premium and a substantial share of other Treasury price anomalies, suggesting that unexpected fluctuations in the specialness spreads of recently-issued nominal Treasury securities are a common risk factor.

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特别回购利率与债券价格的横截面

我们在一个动态期限结构模型中对特殊价差的风险部分进行定价——通过其与预期拍卖周期的偏差来识别——该模型使用所有未发行国库券的每日价格和相应的特殊抵押品(SC)回购利率来估计。这允许我们得出一个时变的SC风险溢价，我们定量地将其与各种价格异常联系起来，例如运行溢价。SC风险溢价解释了约80%的流通溢价和相当一部分其他国债价格异常，这表明最近发行的名义国债的特殊价差的意外波动是一个常见的风险因素。

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.