An Empirical Analysis On The Arbitrage Between The Treasury Bonds Repurchase And Immediate Transactions In China

The treasury bonds repurchase transaction is a sort of short-maturity collateralized financing instrument. Thanks to many advantages over the immediate transaction, the treasury bonds repo transaction has reached an enormous amount in the several years. Even though, compared with the long history of foreign repo development, the transaction in China is still at the beginning level and it is common that many problems exists. One reason of the existing problem is the occurrence of the moral hazard and adverse selection, which should be solved through the supervision and administration. The other reason is the trading members' inappropriate behaviors, which include no abundant research before the operation, appearance of the no forecasted risk in the process of the operation and no timely summarization after operation. Therefore the essay bases on deeply analysis of the existing problems in the treasury bonds repo,focuses on the solution method to the problems by arbitrage between the treasury bonds repo and immediate transactions and analyzes the effect and impact of this method, ending up with some suggestions in the course of the operation and regulations to the markets' existing problems. Quite different with the other researches, this essay starts with the induction of theories concerned and finds out four theoretic supporters. It sets forth the emergence, function and status of this kind of transaction from the financial perspective. It puts forward the effect of the method by the arbitrage combing with the three reasons in the markets, members and money capital market aspects. Also it elaborates the realizing conditions and principle of the possible arbitrage and takes comprehensive economic analysis joined with the current Chinese bond market from the perspectives of reasons, patterns, costs, benefits and risks.