Risk Management with Derivatives by Dealers and Market Quality in Government Bond Markets
研究政府债券交易商如何利用利率期货管理核心业务风险，以及其选择性风险承担对市场质量的影响。发现交易商通过期货市场而非现货市场进行风险控制，并支持资本约束的价格效应理论。
Abstract This paper investigates how bond dealers manage core business risk with interest rate futures and the extent to which market quality is affected by their selective risk taking. We observe that dealers use futures to take directional bets and hedge changes in their spot exposure. We find that, cross‐sectionally, a dealer with longer (shorter) risk exposure sells (buys) a larger amount of exposure the next day. However, this risk control takes place via the futures market and not the spot market. Finally, we find strong support for the price effects of capital constraints emphasized by Froot and Stein (1998).