Investment Horizon and Repo in the Over-the-Counter Market

研究成果: Article査読

2 被引用数 (Scopus)

抄録

This paper presents a three-period model featuring a short-term investor in the over-the-counter bond market. A short-term investor stores cash because of a need to pay cash at some future date. If a short-term investor buys bonds, then a deadline for retrieving cash lowers the resale price of bonds for the investor through bilateral bargaining in the bond market. Ex-ante, this hold-up problem explains the use of a repo by a short-term investor, the existence of a haircut, and the vulnerability of a repo market to counterparty risk. This result holds without any uncertainty about bond returns or asymmetric information.

本文言語English
ページ(範囲)145-164
ページ数20
ジャーナルJournal of Money, Credit and Banking
48
1
DOI
出版ステータスPublished - 2016 2 1
外部発表はい

ASJC Scopus subject areas

  • 会計
  • 財務
  • 経済学、計量経済学

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