| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13546 |
| DP13546 Repo rates and the collateral spread puzzle | |
| Kjell Nyborg | |
| 发表日期 | 2019-02-25 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Repo rates frequently exceed unsecured rates in practice. As an explanation, this paper derives a constrained-arbitrage relation between the unsecured rate, the repo rate, and the illiquidity adjusted expected rate of return of the underlying collateral. The theory is based on unsecured borrowing constraints in the market for liquidity. Repos and security cash-market trades are alternative means to get liquidity. Collateral spreads (unsecured less repo rate) can turn negative if borrowing constraints tighten, unsecured rates spike down, or from a depressed and illiquid security market. The constrained-arbitrage theory sheds light on the evolution of collateral spreads over time. |
| 主题 | Financial Economics |
| 关键词 | Collateral spread Constrained-arbitrage Liquidity Market linkages Repo rate Unsecured rate General collateral |
| URL | https://cepr.org/publications/dp13546 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542400 |
| 推荐引用方式 GB/T 7714 | Kjell Nyborg. DP13546 Repo rates and the collateral spread puzzle. 2019. |
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