Special repo rates: An empirical analysis

• 成果类型: Article
• 署名作者: Jordan, BD; Jordan, SD
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb02750.x
• 发表日期: 1997
• 页码: 2051-2072
• 关键词: consistent covariance-matrix; TREASURY AUCTION; heteroskedasticity

摘要

Duffie (1996) examines the theoretical impact of repo ''specials'' on the prices of Treasury securities and concludes that, all else the same, an issue on special will carry a higher price than an otherwise identical issue. We examine this hypothesis and find strong evidence in support of it. We also examine whether the liquidity premium associated with ''on-the-run'' issues is due to repo specialness and find evidence of a distinct effect. Finally, we investigate whether auction tightness and percentage awarded to dealers are related to subsequent specialness and find that both variables are generally significant.