套利行为和抵押品行为

A. Zhang, Runjie Geng
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引用次数: 1

摘要

我们研究了在全球金融危机期间,实体部门回购抵押品的市场流动性波动导致套利崩溃和具有系统重要性的中介机构失败的渠道。中介机构将生产性资本作为回购抵押品,为其套利头寸提供保证金。市场资本流动性的微小下降会导致更高的折价,并迫使套利者集体解除交易头寸,从而导致不利的价格波动和损失。这进一步降低了套利投资组合的抵押品价值,并在资本和套利交易中引发更多的甩卖。与Brunnermeier和Pedersen(2009)相比,这种渠道产生了更强的放大效应,并且很容易同时引发回购挤兑和套利崩溃,从而导致几个市场的流动性完全枯竭。我们还表明,在回购运行后,中介机构抵押品选择中的“逃向流动性”效应延长了实体部门的衰退。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Arbitrage Run and Collateral Run
We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of capital induces higher haircuts and forces arbitrageurs to collectively unwind trading positions, resulting in adverse price movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both capital and arbitrage trades. This channel creates stronger amplification effects than in Brunnermeier and Pedersen (2009), and can easily incur a simultaneous repo run and arbitrage crashes, where liquidity in several markets dry up altogether. We also show that "flight-to-liquidity'' effects in intermediaries' collateral choices after the repo run prolong the real-sector recession.
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