2022-07-26-美联储-抵押品溢价和杠杆安全资产生产（英）_62页_761kb

The Collateral Premium and Levered Safe-Asset Production Summary

This paper examines the production of safe assets by banks, which involves issuing short-term liabilities and pledging collateral. The ability of banks to create safe assets varies due to fluctuating leverage constraints. The author proposes a model to analyze how time-varying leverage constraints affect the pricing of safe assets used as collateral.

Key findings include:

1. Collateral Premium: There is a positive premium of approximately 22 basis points per year for Treasuries used more frequently as repo collateral. After controlling for liquidity, this premium reflects compensation for bank leverage risk.

2. Empirical Evidence:

   • Treasuries with higher collateral ratios (CR) exhibit lower liquidity, longer maturity, and higher duration.
   • Collateral use persistence is high across time and dealers.
   • The collateral premium positively covaries with bank leverage constraints (proxied by arbitrage returns).
   • During the European sovereign debt crisis, bonds used as collateral by European banks showed lower returns compared to similar bonds used by non-European banks.

3. Hypotheses Tested:

   • Economic factors, such as bank constraints and risk aversion, drive the collateral premium, not other risk characteristics.
   • An event study shows that Treasuries experience negative abnormal returns when their collateral use increases.

4. Conclusion:

   • The collateral premium exists to compensate for the risk that banks may become more leverage constrained.
   • Safe-asset production is implicitly inefficient because the collateral value of long-term Treasuries depends on bank leverage constraints, making them riskier when used as collateral.

The paper highlights the importance of understanding collateral dynamics in safe-asset production, particularly in times of financial stress.