We identify the unique role of the government bond lending market in collateral transformation during periods of market stress. Using a novel database, we provide evidence that safe assets in the lending market have higher demand, higher borrowing cost, and higher usage of noncash collateral relative to nonsafe assets during stressed market conditions. Moreover, we find that market participants are able to obtain safe assets using relatively low-quality noncash collateral, allowing for collateral transformation. We show that policy interventions by central banks can help reduce safe-asset shortages by returning sought-after safe assets to the market.

中文翻译：

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安全资产短缺：来自欧洲政府债券借贷市场的证据

我们确定了政府债券借贷市场在市场压力期间在抵押品转换中的独特作用。使用一个新的数据库，我们提供的证据表明，在压力市场条件下，相对于非安全资产，借贷市场中的安全资产具有更高的需求、更高的借贷成本和更高的非现金抵押品使用率。此外，我们发现市场参与者能够使用质量相对较低的非现金抵押品获得安全资产，从而允许抵押品转换。我们表明，中央银行的政策干预可以通过将受欢迎的安全资产返回市场来帮助减少安全资产短缺。