Investment Horizon and Repo in the Over-the-Counter Market
通过一个三期模型，研究短期投资者在场外债券市场中因现金需求而面临债券转售折价问题，进而解释回购交易、折扣率的存在以及回购市场对对手方风险的脆弱性。
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.