Econ Papers Daily / 期刊论文
三方回购市场中的折扣率、利率与抵押品质量：证据与理论
Haircut, interest rate, and collateral quality in the tri-party repo market: Evidence and theory
摘要
Using transaction-level data from the Korean tri-party repo market, we study how repo contract terms interact with collateral quality. Both haircuts and interest rates rise with collateral risk, consistent with existing evidence. Conditional on collateral quality, however, we find a trade-off: a one-percentage-point increase in the spread is associated with a 1.3-percentage-point reduction in the haircut. The same increase in the interest rate is associated with a smaller reduction in the haircut under heightened market uncertainty, indicating that insurance against default becomes more valuable as default risk rises. We show that the interaction between lenders’ incentives to acquire information and borrowers’ opportunistic default risk explains both the positive unconditional relationship and the negative conditional relationship between haircuts and interest rates.
中文摘要
利用韩国三方回购市场的交易数据，我们研究了回购合约条款如何与抵押品质量相互作用。保证金率和利率均随抵押品风险上升而上升，这与现有证据一致。然而，在控制抵押品质量后，我们发现一种权衡关系：利差每增加一个百分点，保证金率降低1.3个百分点。在市场不确定性加剧的情况下，利率的同等上升会导致保证金率降幅更小，这表明随着违约风险上升，针对违约的保险价值增加。我们证明，贷款人获取信息的动机与借款人机会主义违约风险之间的相互作用，解释了保证金率与利率之间正向的无条件关系以及负向的条件关系。