We propose a dynamic asset pricing model in which two assets with identical cash flows can trade at different prices not only because of differences in liquidity but counterparty risk. Counterparty risk reduces lenders or borrowers’ willingness to supply funds and collateral, incentives to shortsell and lend, and the likelihood for new bonds to be on special, thereby narrowing on-/off-the-run spreads and affecting asset prices in spot markets. Consistent with this prediction, we find that on-/off-the-run spreads are low when counterparty risk is high and this relationship is much stronger during the financial crisis.

中文翻译：

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回购交易对手风险和运行中/运行中的国库利差

我们提出了一种动态资产定价模型，在该模型中，现金流量相同的两个资产可以以不同的价格交易，这不仅是因为流动性的差异，还在于交易对手的风险。交易对手风险降低了贷方或借款人提供资金和抵押品的意愿，降低了卖空和放贷的动机，并降低了发行新债券的可能性，从而缩小了现时/现时价差，并影响了现货市场上的资产价格。与此预测一致，我们发现当交易对手风险较高时，运行/离场价差较低，并且在金融危机期间这种关系更为牢固。