Explaining repo specialness
研究了意大利政府债券隔夜回购合约的特殊性动态，发现抵押品供给、回购流动性、抵押品风险、信息不确定性和卖空代理变量均显著影响特殊性，且危机时期债券抛售和央行干预影响巨大，拍卖前后呈现规律性模式。
Abstract We study the dynamics of specialness for 1‐day repo contracts on Italian government bonds over a 10‐year sample period. As predicted by Duffie's (1996) model, our results show that collateral supply is a significant factor for specialness. However, we enrich that finding by also showing a clear impact from repo liquidity, collateral riskiness, information uncertainty, and short‐selling proxies, revealing the importance of speculative bond demand for specialness. During crisis periods, bond fire sales and European Central Bank interventions also have a large impact on repo specialness. We identify recurrent patterns for specialness around bond auctions. Specialness increases steadily from the auction announcement date until a few days before the auction settlement date, which is consistent with overbidding behaviour and a short selling of treasuries (via reverse repos) from primary dealers ahead of auctions.