The Japanese Repo Market: Theory and Evidence

The Japanese Repo Market: Theory and Evidence
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日本回购市场：理论与证据

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发表时间：
2004
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影响因子：
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通讯作者：
Yasunari Inamura
Yasunari Inamura
中科院分区：
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文献类型：
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作者：
N. Baba;Yasunari Inamura

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回购协议交易被广泛用作借入或借出资金和证券的无风险手段。回购交易可分为（1）借入或借出资金的一般抵押品（GC）回购，以及（2）借入或借出特定证券的特殊抵押品（SC）回购。GC回购利率的定价接近无风险利率，而SC回购利率的定价往往远低于GC回购利率。本文旨在从理论和实证两个角度研究日本回购市场的定价机制。首先，Duffie（1996）和Krishnamurthy（2001）表明，（1）回购市场的均衡要求回购和现金债券交易相结合的无套利利润，（2）GC和SC回购利率之间的回购利差的均衡水平是在回购市场上基础债券发行的供求曲线相交的点上确定的，以及（3）未来配对帐面交易的预期回报反映在SC债券发行的现金价格中。其次，本文使用日本的回购利率和政府债券价格数据对上述理论含义进行了实证检验。我们的实证结果显示，对于在运行和最便宜的交付（CTD）的问题，上述无套利条件显着满足。
Repurchase agreement (repo) transactions are widely used as a risk-free means of borrowing or lending funds and securities. Repo transactions can be categorized into (1) general collateral (GC) repos that borrow or lend funds, and (2) special collateral (SC) repos that borrow or lend specific securities. GC repo rates are priced at a level close to the risk-free interest rate, while SC repo rates are often priced far below the GC repo rates. This paper aims to examine the pricing mechanism of the Japanese repo market from both theoretical and empirical perspectives. First, Duffie (1996) and Krishnamurthy (2001) show that (1) equilibrium in the repo market requires no-arbitrage profits from combining repo and cash bond transactions, (2) the equilibrium level of repo spreads between GC and SC repo rates is determined at the point where the supply and demand curves of the underlying bond issues intersect in the repo market, and (3) expected returns from future matched book trading are reflected in the cash prices of SC bond issues. Second, the paper empirically examines the above theoretical implications using the data of repo rates and government bond prices in Japan. Our empirical results show that, regarding the on-the- run and the cheapest-to-deliver (CTD) issues, the above no-arbitrage condition is significantly satisfied.