基于信息敏感度视角的回购合同的挤兑问题研究

A Study on Repo Runs from the Perspective of Information Sensitiveness

回购合同作为一种重要的短期融资工具在金融系统中具有重要的作用,特别是在2008年爆发的次贷危机中,回购合同市场发生了剧烈的震荡,出现了回购合同的挤兑现象——预留扣减率和回购利率上升。本文内生地分析了回购合同的信息不敏感性,并研究了其对回购合同挤兑的影响,研究发现:(1)在一定的参数条件下,均衡时投资者不获取关于抵押品市场价值的信息,从而银行的最优选择是使用信息不敏感的回购合同进行融资;(2)当银行使用信息不敏感的回购合同融资时,负的外生冲击(抵押品的市场流动性下降或者交易对手风险上升)会提高回购合同的信息敏感度,并导致回购合同挤兑。

As a short-term funding instrument,repurchase agreements( Repos) are playing an important role in the financial system. In the 2008 subprime financial crisis,the repo market was violently fluctuated and repos were widely run by investors,so that thehaircutsand repo rates both increased sharply. This paper analysesendogenously the information-insensitiveness of repo contracts,and examine its effect on repo runs. Two main findings are obtained. Firstly,under certain parametric conditions,investors optimally choose not to acquire information on collateral value,and thus the optimal repo contract for the bank is the information-insensitive one. Secondly,when the bank is financed with information-insensitive repo,exogenous negative shocks to market liquidity of collateral or counterparty risk will increase information sensitiveness of the repo contracts,leading to more repo runs.