search query: @author Buraschi, A. / total: 3
reference: 2 / 3
| Author: | Buraschi, A. Menini, D. |
| Title: | Liquidity risk and specialness |
| Journal: | Journal of Financial Economics
2002 : MAY, VOL. 64:2, p. 243-284 |
| Index terms: | Liquidity Financial risk Bonds Auctions |
| Language: | eng |
| Abstract: | Repo contracts, the most important form of collateralized lending, are widely used by financial institutions and hedge funds to create short-shelling positions and manage their leverage profile. Moreover, they have become the primary tool of money managemtn and monetary control of several central banks, including the Bundesbank and the newly born European Central Bank. The paper is an empirical study of this market. The authors study whether repo spreads embed a liquidity risk premium and whether repo spreads embed a liquidity risk premium and whether such a risk premium is time-varying. |
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