2024-03-28T08:52:56Z
https://repository.dl.itc.u-tokyo.ac.jp/oai
oai:repository.dl.itc.u-tokyo.ac.jp:00042633
2022-12-19T04:17:46Z
62:377:7438
9:7435:7439
Repos in Over-the-Counter Markets
Tomura, Hajime
98050
338
JEL: G24.
Repo
Over-the-counter market
Securities broker-dealer
Short-term investor
Margin
This paper presents a dynamic matching model featuring dealers and short-term investors in an over-the-counter bond market. The model illustrates that bilateral bargaining in an over-the-counter market results in an endogenous bond-liquidation cost for short-term investors. This cost makes short-term investors need repurchase agreements to buy long-term bonds. The cost also explains the existence of a margin specific to repurchase agreements held by short-term investors, if repurchase agreements must be renegotiation-proof. Without repurchase agreements, short-term investors do not buy long-term bonds. In this case, the bond yield rises unless dealers have enough capital to buy and hold bonds.
2012~2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号:24223003)
technical report
UTokyo Price Project
2013-02
application/pdf
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series
005
https://repository.dl.itc.u-tokyo.ac.jp/record/42633/files/wp005.pdf
eng
http://www.price.e.u-tokyo.ac.jp/researchdata/