Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/175689
Authors: 
Corradin, Stefano
Maddaloni, Angela
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper 2065
Abstract: 
Specialness - the premium of procuring a specific security in the repo market - increased in the second half of 2011 for Italian government bonds. We assess the impact on specialness of the outright purchase program of the Eurosystem during the same period. Bonds bought by the Eurosystem had higher specialness. The impact was economically significant and persistent. Short-selling traders had to pay a net premium to close their positions and therefore may have decided to fail on their delivery. Indeed bonds that were bought under the program were more likely to be underlying a fail-to-deliver transaction.
Subjects: 
Repo
Specialness
Central bank asset purchases
Short-selling
JEL: 
E43
E51
G01
G12
G23
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2787-1
Document Type: 
Working Paper

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