The importance of being special: Repo markets during the crisis

• 成果类型: Article
• 署名作者: Corradin, Stefano; Maddaloni, Angela
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.02.006
• 发表日期: 2020
• 页码: 392-429
• 关键词: REPO; Specialness; Central bank asset purchases; Short-selling; Market liquidity and credit risk

摘要

We study how the Italian sovereign bond scarcity premia, specialness, in the repo market were affected by the European Central Bank (ECB)'s purchases during the euro area sovereign debt crisis. We propose and calibrate a search-based dynamic model with a central bank acting as a buy-and-hold investor. Consistent with model predictions, ECB purchases drive specialness of targeted securities in combination with short-selling. Special benchmark bonds entail a positive cash premium, but their market liquidity decreases when purchased by the ECB. Short-sellers were more likely to fail-to-deliver very special bonds, while holders of these bonds were less inclined to pledge them as collateral to the ECB liquidity operations. (C) 2020 Published by Elsevier B.V.