Arbeitspapier
Special repo rates and the cross-section of bond prices: The role of the special collateral risk premium
We estimate the joint term-structure of U.S. Treasury cash and repo rates using daily prices of all outstanding Treasury securities and corresponding special collateral (SC) repo rates. This allows us to derive a risk premium associated to the SC value of Treasuries and quantitatively link this premium to various price anomalies, such as the on-the-run premium. We show that a time-varying SC risk premium can explain between 74%{90% of the on-the-run premium, and is highly correlated with a number of other Treasury market anomalies. This suggests a commonality across these price anomalies, explicitly linked to the SC value of the highest-quality securities|recentlyissued U.S. nominal Treasuries.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2018-21
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
D'Amico, Stefania
Pancost, N. Aaron
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Chicago
- (wo)
-
Chicago, IL
- (wann)
-
2018
- DOI
-
doi:10.21033/wp-2018-21
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- D'Amico, Stefania
- Pancost, N. Aaron
- Federal Reserve Bank of Chicago
Entstanden
- 2018
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