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Citations for " Special Repo Rates"

by Duffie, Darrell

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  1. Vayanos, Dimitri & Weill, Pierre-Olivier, 2006. "A Search-Based Theory of the On-the-Run Phenomenon," CEPR Discussion Papers 5965, C.E.P.R. Discussion Papers.
  2. Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2010. "Declining valuations and equilibrium bidding in central bank refinancing operations," International Journal of Industrial Organization, Elsevier, Elsevier, vol. 28(1), pages 30-43, January.
  3. D’Amico, Stefania & King, Thomas B., 2013. "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(2), pages 425-448.
  4. Fleming, Michael J, 2002. "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 34(3), pages 707-35, August.
  5. Baba, Naohiko & Inamura, Yasunari, 2004. "The Japanese Repo Market: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(1), pages 65-90, March.
  6. Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2012. "Repo and Securities Lending," NBER Working Papers 18549, National Bureau of Economic Research, Inc.
    • Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2013. "Repo and Securities Lending," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 131-148 National Bureau of Economic Research, Inc.
  7. Cohen, Lauren & Diether, Karl B. & Malloy, Christopher J., 2005. "Supply and Demand Shifts in the Shorting Market," Working Paper Series 2005-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  8. Juan Ignacio Pena & Santiago Forte, 2006. "CREDIT SPREADS: THEORY AND EVIDENCE ABOUT THE INFORMATION CONTENT OF STOCKS, BONDS AND CDSs," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb063310, Universidad Carlos III, Departamento de Economía de la Empresa.
  9. Kopchak, Seth J., 2013. "The realized forward term premium in the repo market," Journal of Financial Markets, Elsevier, Elsevier, vol. 16(2), pages 253-278.
  10. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 19(3), pages 418-437, July.
  11. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
  12. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 16(2), pages 204-228, April.
  13. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 78(2), pages 277-309, November.
  14. Michael J. Fleming, 2000. "The benchmark U.S. Treasury market: recent performance and possible alternatives," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Apr, pages 129-145.
  15. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 307-339.
  16. Kenneth D. Garbade & Matthew Rutherford, 2007. "Buybacks in Treasury cash and debt management," Staff Reports 304, Federal Reserve Bank of New York.
  17. Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2002. "Stocks are special too: an analysis of the equity lending market," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 241-269.
  18. Michael J. Fleming & Kenneth D. Garbade, 2004. "Repurchase agreements with negative interest rates," Current Issues in Economics and Finance, Federal Reserve Bank of New York, Federal Reserve Bank of New York, vol. 10(Apr).
  19. Basma Bekdache & Christopher F. Baum, 1997. "The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates," Boston College Working Papers in Economics 372, Boston College Department of Economics.
  20. Jones, Charles M. & Lamont, Owen A., 2002. "Short-sale constraints and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 207-239.
  21. Michael J. Fleming, 2001. "Measuring treasury market liquidity," Staff Reports 133, Federal Reserve Bank of New York.
  22. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, Elsevier, vol. 88(2), pages 375-405, May.
  23. Asquith, Paul & Au, Andrea S. & Covert, Thomas & Pathak, Parag A., 2013. "The market for borrowing corporate bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(1), pages 155-182.
  24. Song, Zhaogang & Zhu, Haoxiang, 2014. "QE Auctions of Treasury Bonds," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-48, Board of Governors of the Federal Reserve System (U.S.).
  25. Owen A. Lamont & Richard H. Thaler, . "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," CRSP working papers 528, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  26. Michael J. Fleming & Kenneth D. Garbade, 2005. "Explaining settlement fails," Current Issues in Economics and Finance, Federal Reserve Bank of New York, Federal Reserve Bank of New York, vol. 11(Sep).
  27. J. Huston McCulloch, 2001. "The Inflation Premium implicit in the US Real and Nominal," Computing in Economics and Finance 2001 210, Society for Computational Economics.
  28. Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer, vol. 12(1), pages 21-38, August.
  29. Redding, Lee S., 1999. "Negative nominal interest rates and the liquidity premium," Economics Letters, Elsevier, vol. 62(2), pages 213-216, February.
  30. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
  31. Michael J. Fleming, 2001. "Financial market implications of the federal debt paydown," Staff Reports 120, Federal Reserve Bank of New York.
  32. Andrei Kapaev, 2013. "Remark on repo and options," Papers 1311.5211, arXiv.org.
  33. Suresh Sundaresan & Zhenyu Wang, 2006. "Y2K options and the liquidity premium in Treasury bond markets," Staff Reports 266, Federal Reserve Bank of New York.
  34. Paul Bennett & Kenneth Garbade & John Kambhu, 1999. "Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-083, New York University, Leonard N. Stern School of Business-.
  35. Michael E. Cahill & Stefania D’Amico & Canlin Li & John S. Sears, 2013. "Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2013-35, Board of Governors of the Federal Reserve System (U.S.).
  36. Houweling, P. & Vorst, A.C.F., 2003. "Pricing default swaps: empirical evidence," Econometric Institute Research Papers EI 2003-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  37. Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(3), pages 589-608.
  38. Naohiko Baba & Yasunari Inamura, 2002. "The Japanese Repo Market: Theory and Evidence," Bank of Japan Working Paper Series Financial Markets Departm, Bank of Japan.
  39. D'Amico, Stefania & Fan, Roger & Kitsul, Yuriy, 2014. "The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-60, Board of Governors of the Federal Reserve System (U.S.).
  40. Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe, 2013. "Aging and Real Estate Prices:Evidence from Japanese and US Regional Data," UTokyo Price Project Working Paper Series 014, University of Tokyo, Graduate School of Economics, revised Dec 2013.
  41. D'Avolio, Gene, 2002. "The market for borrowing stock," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 271-306.
  42. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.
  43. Fan, Longzhen & Zhang, Chu, 2007. "Beyond segmentation: The case of China's repo markets," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 939-954, March.
  44. Graveline, Jeremy J. & McBrady, Matthew R., 2011. "Who makes on-the-run Treasuries special?," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 20(4), pages 620-632, October.
  45. Buraschi, Andrea & Menini, Davide, 2002. "Liquidity risk and specialness," Journal of Financial Economics, Elsevier, Elsevier, vol. 64(2), pages 243-284, May.
  46. Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(3), pages 707-733.
  47. D'Amico, Stefania & Fan, Roger & Kitzul, Yuriy, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series, Federal Reserve Bank of Chicago WP-2013-22, Federal Reserve Bank of Chicago.
  48. Bottazzi, Jean-Marc & De Meyer, Bernard, 2003. "A market game for assets and taxed investors," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 657-675, July.
  49. Brian Sack, 2000. "Using Treasury STRIPS to measure the yield curve," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2000-42, Board of Governors of the Federal Reserve System (U.S.).
  50. Cassola, N. & Ewerhart , C. & Valla, N., 2006. "Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations," Working papers, Banque de France 151, Banque de France.
  51. Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2005. "Measuring Liquidity in the Greek Government Securities Market," Working Papers 23, Bank of Greece.
  52. Merrick, John Jr & Naik, Narayan Y. & Yadav, Pradeep K., 2005. "Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze," Journal of Financial Economics, Elsevier, Elsevier, vol. 77(1), pages 171-218, July.
  53. Kenneth D. Garbade & John E. Kambhu, 2005. "Why is the U.S. Treasury contemplating becoming a lender of last resort for Treasury securities?," Staff Reports 223, Federal Reserve Bank of New York.
  54. Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, Elsevier, vol. 58(3), pages 397-415, December.
  55. Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D., 2013. "Connecting two markets: An equilibrium framework for shorts, longs, and stock loans," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(2), pages 302-322.
  56. Merrick, John J. & Naik, Narayan Y. & Yadav, Pradeep K., 2004. "Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze," CFR Working Papers 04-07, University of Cologne, Centre for Financial Research (CFR).
  57. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, Elsevier, vol. 7(2), pages 145-185, February.
  58. Gravelle, Toni, 1998. "Buying Back Government Bonds: Mechanics and Other Considerations," Working Papers 98-9, Bank of Canada.
  59. J. Huston McCulloch & Levin A. Kochen, 1998. "The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates," Working Papers, Ohio State University, Department of Economics 98-12, Ohio State University, Department of Economics.
  60. Krishnamurthy, Arvind, 2002. "The bond/old-bond spread," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 463-506.
  61. Paul Bennett & Kenneth Barbade & John Kambhu, 2000. "Enhancing the liquidity of U.S. Treasury securities in an era of surpluses," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Apr, pages 89-119.
  62. Ahn, Hee-Joon & Cai, Jun & Cheung, Yan Leung, 2005. "Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong," Journal of Financial Markets, Elsevier, Elsevier, vol. 8(4), pages 421-451, November.