The Review of Asset Pricing Studies·Volume 7, Issue 1·1 June 2017

回购交易对手方风险与新旧国债息差

作者：Sheen Liu (Carson College of Business, Washington State University)

Chunchi Wu (School of Management, State University of New York at Buffalo)

摘要：我们提出了一个用于刻画现金流相同但价格不同的两种资产的动态定价模型，除了流动性差异外，我们还加入了交易对手方的风险因素。对手方风险降低了贷款方或者借款方提供资金和抵押品的意愿、做空和出借的激励以及新债折价销售的可能性，因此缩小了新旧国债之间的价差并且对现货市场的资产价格产生影响。与此预测相一致的是，我们发现当对手方风险较高的时候，新旧债券的价差较低，并且这种关系在金融危机期间要明显很多。

Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads

Sheen Liu (Carson College of Business, Washington State University)

Chunchi Wu (School of Management, State University of New York at Buffalo)

ABSTRACT

We propose a dynamic asset pricing model in which two assets with identical cash flows can trade at different prices not only because of differences in liquidity but counterparty risk. Counterparty risk reduces lenders or borrowers’ willingness to supply funds and collateral, incentives to shortsell and lend, and the likelihood for new bonds to be on special, thereby narrowing on-/off-the-run spreads and affecting asset prices in spot markets. Consistent with this prediction, we find that on-/off-the-run spreads are low when counterparty risk is high and this relationship is much stronger during the financial crisis.

原文链接: https://academic.oup.com/raps/article/7/1/81/2528244/Repo-Counterparty-Risk-and-On-Off-the-Run-Treasury

翻译：汪国颂