Special Repo Rates and the Cross-Section of Bond Prices: the Role of the Special Collateral Risk Premium
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DOI: 10.21033/wp-2018-21
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References listed on IDEAS
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- James D. Hamilton & Jing Cynthia Wu, 2011. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," NBER Working Papers 16956, National Bureau of Economic Research, Inc.
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More about this item
Keywords
Bond prices; collateral; interest rates; risk premia;All these keywords.
JEL classification:
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2018-12-24 (Financial Markets)
- NEP-MAC-2018-12-24 (Macroeconomics)
- NEP-RMG-2018-12-24 (Risk Management)
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