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~institution:"Federal Reserve Board (Board of Governors of the Federal Reserve System)"
~institution:"de Nederlandsche Bank"
~person:"Bekaert, Geert"
~person:"Fan, Roger"
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The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors
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....
Persistent link: https://www.econbiz.de/10010892306
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Flights to Safety
Baele, Lieven
;
Bekaert, Geert
;
Inghelbrecht, Koen
;
Wei, Min
-
Federal Reserve Board (Board of Governors of the …
-
2014
controlling for standard risk factors.
Liquidity
deteriorates on FTS days both in the bond and equity markets. Both economic …
Persistent link: https://www.econbiz.de/10010787051
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