| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6957 |
| DP6957 Optimal Monetary Policy using a VAR | |
| Michael R. Wickens; Vito Polito | |
| 发表日期 | 2008-09-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Interdealer trading in the European sovereign bond market is characterized by low spreads and high liquidity. This paper examines whether the dealer-customer segment of the market also benefits from low spreads. Customers are smaller banks and buy-side financial institutions who request quotes from primary dealers. They generally do not enjoy access to the interdealer trading platform. Surprisingly, we find that customer trades are on average competitively priced and often occur inside the interdealer spread. Moreover, higher market volatility increases interdealer spreads more than customer spreads. The theoretical part of the paper develops a new dynamic model of dealer intermediation which captures the segmented market structure of the European bond market. The model explains differences in the volatility dependence of interdealer and customer spreads. The predicted inventory dependence of customer trade quality is also confirmed in the data. |
| 主题 | Financial Economics |
| 关键词 | Dealer intermediation Spread determination Adverse selection Market segmentation |
| URL | https://cepr.org/publications/dp6957 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535794 |
| 推荐引用方式 GB/T 7714 | Michael R. Wickens,Vito Polito. DP6957 Optimal Monetary Policy using a VAR. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
