Safe-Asset Shortages: Evidence from the European Government Bond Lending Market
研究了市场压力时期政府债券借贷市场在抵押品转换中的独特作用，发现安全资产需求更高、借贷成本更高，且参与者能用低质量非现金抵押品获取安全资产，央行干预可缓解短缺。
Abstract We identify the unique role of the government bond lending market in collateral transformation during periods of market stress. Using a novel database, we provide evidence that safe assets in the lending market have higher demand, higher borrowing cost, and higher usage of noncash collateral relative to nonsafe assets during stressed market conditions. Moreover, we find that market participants are able to obtain safe assets using relatively low-quality noncash collateral, allowing for collateral transformation. We show that policy interventions by central banks can help reduce safe-asset shortages by returning sought-after safe assets to the market.