Special Repo Rates: An Empirical Analysis
实证检验了Duffie（1996）关于回购特殊利率推高国债价格的理论，发现有力证据支持；同时考察了流动性溢价与回购特殊性的关系，以及拍卖紧俏度与经销商中标比例对后续特殊性的预测作用。
ABSTRACT Duffie (1996) examines the theoretical impact of repo “specials” on the prices of Treasury securities and concludes that, all else the same, an issue on special will carry a higher price than an otherwise identical issue. We examine this hypothesis and find strong evidence in support of it. We also examine whether the liquidity premium associated with “on‐the‐run” issues is due to repo specialness and find evidence of a distinct effect. Finally, we investigate whether auction tightness and percentage awarded to dealers are related to subsequent specialness and find that both variables àre generally significant.