Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads
提出一个动态资产定价模型，说明现金流相同的两种资产因流动性和对手方风险而价格不同；对手方风险高时新旧国债利差收窄，金融危机期间关系更强。
We propose a dynamic asset pricing model in which two assets with identical cash flows can trade at different prices not only because of differences in liquidity but counterparty risk. Counterparty risk reduces lenders or borrowers’ willingness to supply funds and collateral, incentives to shortsell and lend, and the likelihood for new bonds to be on special, thereby narrowing on-/off-the-run spreads and affecting asset prices in spot markets. Consistent with this prediction, we find that on-/off-the-run spreads are low when counterparty risk is high and this relationship is much stronger during the financial crisis. Received January 28, 2015; accepted October 4, 2016 by Editor Maureen O' Hara.