Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/96652 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Working Paper No. 2013-22
Verlag: 
Federal Reserve Bank of Chicago, Chicago, IL
Zusammenfassung: 
In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all the outstanding U.S. Treasury securities. Our results indicate the existence of an economically and statistically significant scarcity premium, especially for shorter-term securities. The estimated scarcity effect is quite persistent, seems to be reflected in the Treasury market prices, and could in part explain the flow-effects of the Fed's asset purchase programs. More generally, it provides additional evidence in favor of the scarcity channel of quantitative easing. These findings also suggest that, through the same mechanism, the Fed's reverse repo operations could help alleviate potential shortages of high-quality collateral.
Schlagwörter: 
Collateral
securities
repo market
treasury bonds
JEL: 
G1
G12
G19
C23
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
461.67 kB





Publikationen in EconStor sind urheberrechtlich geschützt.