わが国のレポ市場について―理論的整理と実証分析―

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1 GCGC SC GCSC SC SC

2 GC general collateralscspecial collateral Griffiths and Winters GCFF Jordan and JordanDuffie matched book GC GC SC DuffieKrishnamurthy

3 SC SC Duffie AB AB A B A B

4 GC SCGC SC

5 SC SC P 1 (1+R)R P 1 P 1 ( 1+ R) P 1 P 2 GC

6 P 1 P 2 P 1 P 2 R P 1 R P 1 P 2 + P 1 R SCGC GC SC R S/N

7 GCSC TIBOR GC GC SC GCSC

8 GC GC GCFF StigumGC GCFF DuffieKrishnamurthy GC PP (1+ GC R P P P R F RTGSreal time gross settlement

10 F F P (1+ R )GC R F = P(1+ R). DuffieKrishnamurthySC GC SCGC SC SG S P S GP G P con P S > P G SR S G R G P S > P G

11 SG S G π π = (P con P S ) + (P con P G ) P G R G + P S R S. S G P S 1+ R = G. P G 1+ R S G S P S P G = R G R S. P G R S SC R G GC SC R S R G.

12 R S > R G S GC SC SC s=r G R S A B 0 R G R S GC SCSC GC

13 R S SCR S GCR G SC SC SC SC SC SC SC SC

14 CF CF BISmarket liquidity SC ASC B convenience yield Hull

15 Krishnamurthy SCSC SCGC SC t = T P con t P S, t (R S, t )P G, t (R G, t ) P S, t > P G, t t SC GC t +1 π t +1 π t +1 = (P G, t +1 P G, t ) (P S, t +1 P S, t ) P G, t R G, t + P S, t R S, t. t E t [π t+1 ] = 0 E t [( PG, t + 1 PG, t ) ( PS, t + 1 PS, t )] = PS, t RS, t PG, t RG, t, t = T P con t = 0 t = T 1 P S,0 P G,0 = T 1 t= 0 E [ P R P R ]. 0 G, t G, t S, t S, t

16 P S, 0 > P G, 0 R S, t < R G, t T 1 t = 1 P P = ( P R P R ) + E [ P R P R ]. S, 0 G, 0 G, 0 G,0 S,0 S, 0 0 G, t G, t S, t S, t t = 0 t = 0 t = 0 SC T SC SC B Buraschi and Menini

17 SC Krishnamurthy Krishnamurthy

18 Jordan and Jordan SCSC SC SC SCSC P G P S SC Jordan and Jordan McCulloch BB tt

19 SC

20 Jordan and Jordan GCSC RS i, t T ( PG, t RG, t PS, t R S, t ), τ = t i i t T R G R S GCSC SC

21 P i, t P i, t = α i Dummy i + βrs i, t. H 0 : β = 0H 1 : β > 0 t H 0 : β = 1H 1 : β 1 Dummy i i = 1,, 10 H 0 : β = 1χ 2 β SC t it

22 t p β α 1 Dummy α 2 Dummy α 3 Dummy α 4 Dummy α 5 Dummy α 6 Dummy α 7 Dummy α 8 Dummy Dummy α 9 Dummy α 10 t p β α 1 Dummy α 2 Dummy α 3 Dummy p H 0 : β = 0 H 1 : β> 0p H 0 : β = 1 H 1 : β 1 p

23 SC SC DuffieKrishnamurthy SC SC when-issued SC SC SC Keane

24 SC

25 A CP

26 A FEDBAbankers acceptance BA BAFEDBA BOE

27 Federal Reserve BulletinFlow of Funds Accounts Board of Governors of Federal Reserve System Bank of England, Monetary and Financial Statistics The Debt Management Office

28 GC GCGC GC RTGS GC GC GC GC A GC RTGS GC GC GC RTGS

29 GCO/NT/N O/N GC GC

30 R i Q i MR i i = 1i = 2 MC A MC = MR 1 = MR 2, ε 1 ε 2 ε 1 < ε 2 MR 1 R1 1 ε 1 = 1 1, MR2 = R2 1, ε 2 R i D 2 R D 1 R MC Q 2 Q 1 MR 2 0 MR 1 MC

31 1 R1 1 ε 1 1 R 2 1, ε = 2 ε 1 > ε 2 R 1 < R 2 R 1 = R 2

32 RTGS BIS, Market Liquidity: Further Findings and Selected Policy Implications,, BIS, Implications of Repo Markets for Central Banks,, Buraschi, Andrea, and Davide, Menini, Liquidity Risk and Special Repos: How Well do Forward Repo Spreads Price Future Specialness?, mimeo, Duffie, Durrel, Special Repo Rates, Journal of Finance, 51, 1996, pp Griffiths, Mark, D., and Drew, B., Winters, The Effect of Federal Reserve Accounting Rules on the Equilibrium Level of Overnight Repo Rates, Journal of Business Finance and Accounting, 24, 1997, pp Hull, John, Options, Futures, and Other Derivatives, 4 th edition, Prentice Hall, Jordan, Bradford, D., and Susan, D., Jordan, Special Repo Rates: An Empirical Analysis, Journal of Finance, 52, 1997, pp Keane, Frank, Repo Rate Patterns for New Treasury Notes, Current Issues in Economics and Finance, FRB New York, 2 (10), Krishnamurthy, Arvind, The Bond/Old-Bond Special, mimeo, Northwestern University, McCulloch, Huston, J., The Tax Adjusted Yield Curve, Journal of Finance, 30, 1975, pp Stigum, Marcia, The Repo and Reverse Markets, Irwin, 1989.

本邦国債価格データを用いたゼロ・クーポン・イールド・カーブ推定手法の比較分析

本邦国債価格データを用いたゼロ・クーポン・イールド・カーブ推定手法の比較分析 Steeley [1991]... JAFEE 35 TMU NEEDS E-mail: [email protected] / /212.7 35 1 1 1 1 2 McCulloch [1971, 1975] Steeley [1991] Tanggaard [1997] Schaefer [1981] Nelson and Siegel [1987] Svensson [1995]...