当大卫成为歌利亚：回购经销商驱动的债券误定价
When David becomes Goliath: Repo dealer-driven bond mispricing
AI总结：
本文探讨了回购经销商市场力量对债券价格的影响，揭示了市场摩擦对债券收益率偏离的贡献。
摘要：
本文研究了融资市场摩擦对债券价格和市场整体流动性的影响。利用专有交易层面数据，涵盖了所有国债支持的回购和逆回购交易，我们展示了个别经销商市场力量及其联系如何产生摩擦。具体来说，我们表明与市场力量相关的摩擦导致债券收益率偏离在0.5至1.3个百分点之间，而经销商之间异质性持久冲击的传递则导致收益率偏离在2至4个百分点之间。
英文摘要：
This paper studies the impact of funding market frictions on bond prices and market-wide liquidity. Using proprietary transaction-level data on all gilt-backed repo and reverse-repo trades, we demonstrate how the market power of individual dealers and their linkages generate frictions. Specifically, we show that frictions related to market power account for between 0.5 and 1.3 percentage points of bond yield deviation, while the transmission of heterogeneously persistent shocks between dealers accounts for between 2 and 4 percentage points of yield deviation.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
