| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13547 |
| DP13547 Repo rates and the collateral spread: Evidence | |
| Kjell Nyborg; Cornelia Roesler | |
| 发表日期 | 2019-02-25 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | The spread between unsecured and repo rates (collateral spread) fluctuates substantially and is negative on a significant portion of days. Recent theoretical work argues that collateral spreads are determined by a constrained-arbitrage relation between the unsecured rate, the repo rates, and the expected rate of return of the underlying security. Negative collateral spreads arise in equilibrium if unsecured markets are sufficiently tight, unsecured rates spike down, or security markets are sufficiently depressed in terms of prices, liquidity, and volatility. The objective of this paper is to examine the determinants of collateral spreads by testing the constrained-arbitrage theory. The findings are supportive. |
| 主题 | Financial Economics |
| 关键词 | Collateral spread Liquidity Unsecured rate Repo rate General collateral Eurex repo |
| URL | https://cepr.org/publications/dp13547 |
| 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/542401 |
| 推荐引用方式 GB/T 7714 | Kjell Nyborg,Cornelia Roesler. DP13547 Repo rates and the collateral spread: Evidence. 2019. |
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