GCGC SC GCSC SC SC E-mail: yasunari.inamura@boj.or.jp E-mail: naohiko.baba@boj.or.jp
GC general collateralscspecial collateral Griffiths and Winters GCFF Jordan and JordanDuffie matched book GC GC SC DuffieKrishnamurthy
SC SC Duffie AB AB A B A B
GC SCGC SC
SC SC P 1 (1+R)R P 1 P 1 ( 1+ R) P 1 P 2 GC
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
GCSC TIBOR GC GC SC GCSC
GC GC GCFF StigumGC GCFF DuffieKrishnamurthy GC PP (1+ GC R P P P R F RTGSreal time gross settlement
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
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.
R S > R G S GC SC SC s=r G R S A B 0 R G R S GC SCSC GC
R S SCR S GCR G SC SC SC SC SC SC SC SC
CF CF BISmarket liquidity SC ASC B convenience yield Hull
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
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
SC Krishnamurthy Krishnamurthy
Jordan and Jordan SCSC SC SC SCSC P G P S SC Jordan and Jordan McCulloch BB tt
SC
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
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
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
SC SC DuffieKrishnamurthy SC SC when-issued SC SC SC Keane
SC
A CP
A FEDBAbankers acceptance BA BAFEDBA BOE
Federal Reserve BulletinFlow of Funds Accounts Board of Governors of Federal Reserve System Bank of England, Monetary and Financial Statistics The Debt Management Office
GC GCGC GC RTGS GC GC GC GC A GC RTGS GC GC GC RTGS
GCO/NT/N O/N GC GC
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
1 R1 1 ε 1 1 R 2 1, ε = 2 ε 1 > ε 2 R 1 < R 2 R 1 = R 2
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, 2001. Duffie, Durrel, Special Repo Rates, Journal of Finance, 51, 1996, pp. 493-526. 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. 815-832. Hull, John, Options, Futures, and Other Derivatives, 4 th edition, Prentice Hall, 2000. Jordan, Bradford, D., and Susan, D., Jordan, Special Repo Rates: An Empirical Analysis, Journal of Finance, 52, 1997, pp. 2051-2072. Keane, Frank, Repo Rate Patterns for New Treasury Notes, Current Issues in Economics and Finance, FRB New York, 2 (10), 1996. Krishnamurthy, Arvind, The Bond/Old-Bond Special, mimeo, Northwestern University, 2001. McCulloch, Huston, J., The Tax Adjusted Yield Curve, Journal of Finance, 30, 1975, pp. 811-830. Stigum, Marcia, The Repo and Reverse Markets, Irwin, 1989.