The Scarcity Value of Treasury Collateral: Repo-Market Effects of Security-Specific Supply and Demand Factors
研究了美国国债特定供需因素如何影响回购利率，发现国债存在持续约3个月的稀缺溢价，且短期国债更显著；该效应传导至现货市场，为量化宽松的稀缺性渠道提供证据，而美联储逆回购操作可缓解此溢价。
We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the specific collateral repurchase agreement (repo) rates of all outstanding U.S. Treasury securities. We find a positive and significant scarcity premium for on- and off-the-run Treasuries that persists for approximately 3 months and is larger in magnitude for shorter-term securities. This scarcity effect seems to pass through to Treasury cash market prices, providing additional evidence for the scarcity channel of quantitative easing (QE). On the contrary, the Federal Reserve’s reverse repo operations could help reduce the scarcity premium by alleviating potential shortages of high-quality collateral.