Securities market theory: Possession, repo and rehypothecation

• 成果类型: Article
• 署名作者: Bottazzi, Jean-Marc; Luque, Jaime; Pascoa, Mario R.
• 署名单位: Universidade Nova de Lisboa; Universidad Carlos III de Madrid
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.11.004
• 发表日期: 2012
• 页码: 477-500
• 关键词: Re-hypothecation; Repo; leverage; Repo collateral multiplier; Short sale; Issuing; collateral; Specialness; Security pricing

摘要

By introducing repo markets we understand how agents need to borrow issued securities before shorting them: (re)-hypothecation is at the heart of shorting. Non-negative amounts of securities in the box of an agent (amounts borrowed or owned but not lent on) can be sold, and recursive use of securities as collateral allows agents to leverage their positions. A binding box constraint induces a liquidity premium: the repo rat:, becomes special and the security price higher than expected discounted cash-flows. Existence of equilibrium is guaranteed under limited re-hypothecation, a situation secured by (current or proposed) institutional arrangements. (C) 2011 Elsevier Inc. All rights reserved.