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The Japanese Repo Market: Theory and Evidence

Author

Listed:
  • Naohiko Baba

    (Bank of Japan)

  • Yasunari Inamura

    (Bank of Japan)

Abstract

Repurchase Agreements (Repo) transactions are widely used as a risk-free means of raising or investing funds. Repo transactions can be categorized into the following two types: (i) general repos whose purpose is to borrow or lend funds, and (ii) special repos whose purpose is to borrow or lend securities. General repo transactions generate the linkage between the repo market and money markets including the interbank market, while special repo transactions generate the linkage between the repo market and securities markets, typically the government bond market. The objective of this paper is to examine the mechanism of the Japanese repo market from both theoretical and empirical perspectives.

Suggested Citation

  • Naohiko Baba & Yasunari Inamura, 2002. "The Japanese Repo Market: Theory and Evidence," Bank of Japan Working Paper Series Financial Markets Departm, Bank of Japan.
    • Handle: RePEc:boj:bojwps:02-e-1f
    as

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    File URL: http://www.boj.or.jp/en/research/wps_rev/wps_2002/data/kwp02e01.pdf
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    References listed on IDEAS

    as
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    3. Frank M. Keane, 1996. "Repo rate patterns for new Treasury notes," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 2(Sep).
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    5. Mark D. Griffiths & Drew B. Winters, 1997. "The Effect of Federal Reserve Accounting Rules on the Equilibrium Level of Overnight Repo Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(6), pages 815-832.
    6. Mark D. Griffiths & Drew B. Winters, 1997. "The Effect of Federal Reserve Accounting Rules on the Equilibrium Level of Overnight Repo Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(6), pages 815-832, July.
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    Full references (including those not matched with items on IDEAS)

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