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 |
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ページ(範囲) | 145-164 |
ページ数 | 20 |
ジャーナル | Journal of Money, Credit and Banking |
巻 | 48 |
号 | 1 |
DOI | |
出版ステータス | Published - 2016 2月 1 |
外部発表 | はい |
ASJC Scopus subject areas
- 会計
- 財務
- 経済学、計量経済学