This article provides the causes and symptoms of special repo rates in a competitive market
for repurchase agreements. A repo rate is, in effect, an interest rate on loans collateralized …

I document the profits on a trade that is long the old 30-year Treasury bond and short the
new 30-year Treasury bond, and is rolled over every auction cycle from June 1995 to …

We examine the impact of the first phase of the Bank of England's quantitative easing (QE)
programme during March 2009–January 2010 on the UK government bond (gilt) market …

We use when-issued transactions data to assess the Treasury's current experiment with
uniform auctions. When-issued volume is higher under uniform as compared to …

We study how the Italian sovereign bond scarcity premia, specialness, in the repo market
were affected by the European Central Bank (ECB)'s purchases during the euro area …

We quantify the scarcity value of Treasury collateral by estimating the impact of security-
specific demand and supply factors on the specific collateral repurchase agreement (repo) …

We analyze a unique data set on multiunit auctions, which contains the actual demand
schedules of the bidders as well as the auction awards in over 400 Swedish Treasury …

Repo contracts, the most important form of collateralized lending, are widely used by
financial institutions and hedge funds to create short-selling positions and manage their …

This article develops a theory of multiunit auctions where short squeezes can occur in the
secondary market. Both uniform and discriminatory auctions are studied and bidders can …

We show that new public debt issues cause an auction cycle for Italian secondary-market
debt, but not for German debt. The cycle is mainly observed for the crisis period since mid …