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Special Repo Rates: An Empirical Analysis

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  • Jordan, Bradford D
  • Jordan, Susan D

Abstract

Darrell Duffie (1996) examines the theoretical impact of repo 'specials' on the prices of Treasury securities and concludes that, all else the same, an issue on special will carry a higher price than an otherwise identical issue. The authors examine this hypothesis and find strong evidence in support of it. They also examine whether the liquidity premium associated with 'on-the-run' issues is due to repo specialness and find evidence of a distinct effect. Finally, the authors investigate whether auction tightness and percentage awarded to dealers are related to subsequent specialness and find that both variables are generally significant. Copyright 1997 by American Finance Association.

Suggested Citation

  • Jordan, Bradford D & Jordan, Susan D, 1997. "Special Repo Rates: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 52(5), pages 2051-2072, December.
    • Handle: RePEc:bla:jfinan:v:52:y:1997:i:5:p:2051-72
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