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首页> 外文期刊>Journal of financial economics >The importance of being special: Repo markets during the crisis
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The importance of being special: Repo markets during the crisis

机译：特别的重要性：危机期间的回购市场

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We study how the Italian sovereign bond scarcity premia, specialness, in the repo market were affected by the European Central Bank (ECB)'s purchases during the euro area sovereign debt crisis. We propose and calibrate a search-based dynamic model with a central bank acting as a buy-and-hold investor. Consistent with model predictions, ECB purchases drive specialness of targeted securities in combination with short-selling. Special benchmark bonds entail a positive cash premium, but their market liquidity decreases when purchased by the ECB. Short-sellers were more likely to fail-to-deliver very special bonds, while holders of these bonds were less inclined to pledge them as collateral to the ECB liquidity operations. (C) 2020 Published by Elsevier B.V.
机译：我们研究意大利主权债券稀缺性Premia，特别是在欧洲央行（欧洲央行）在欧元区主权债务危机期间的购买影响。我们提出并校准了基于搜索的动态模型，中央银行作为买入投资者。与模型预测一致，欧洲央行购买有针对性证券的特殊性与短销售。特殊的基准债券需要一个积极的现金溢价，但在欧洲央行购买时，他们的市场流动性降低。短卖家更有可能无法提供非常特殊的债券，而这些债券的持有人则倾向于向欧洲央行流动性行动抵押抵押品。 （c）2020由elsevier b.v发布。

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