Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Large Scale Asset Purchase programs 

Working Paper
The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors

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. Treasury securities. We find an economically and statistically significant scarcity premium. This scarcity effect is quite persistent, passes through to Treasury market prices, and explains a significant portion of the flow-effects of LSAP programs, providing additional evidence for the scarcity channel ...
Finance and Economics Discussion Series , Paper 2014-60

Working Paper
Funding Liquidity Risk and the Cross-section of MBS Returns

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect security-level costs of financing positions in the MBS market. We show that factors representing higher net MBS supply are generally associated with higher IFRs, or higher funding costs. In addition, we find that exposure to systematic funding liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency ...
Finance and Economics Discussion Series , Paper 2016-052

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

E43 2 items

G12 2 items

G19 2 items

C23 1 items

E58 1 items

G1 1 items

show more (1)

PREVIOUS / NEXT