D'Amico, Stefania; Fan, Roger; Kitsul, Yuriy - Federal Reserve Board (Board of Governors of the … - 2014
In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. 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 outstanding U.S....