| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7570 |
| DP7570 Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008 | |
| Alan M. Taylor; Moritz Schularick | |
| 发表日期 | 2009-11-22 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We develop a dynamic model of a market with two specialized sides: traders posting quotes ("market makers") and traders hitting quotes ("market takers"). Traders monitor the market to seize profit opportunities, generating high frequency liquidity cycles. Monitoring decisions by market-makers and market-takers are self-reinforcing, generating multiple equilibria with differing liquidity levels and duration clustering. The trading rate is typically maximized when makers and takers are charged different fees or even paid rebates. The model yields several empirical implications regarding the determinants of make/take fees, the trading rate, the bid-ask spread, and the effects of algorithmic trading on liquidity and welfare. |
| 主题 | Financial Economics ; Industrial Organization |
| 关键词 | Algorithmic trading Duration clustering Liquidity Make/take fees Monitoring Two-sided markets |
| URL | https://cepr.org/publications/dp7570 |
| 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/536407 |
| 推荐引用方式 GB/T 7714 | Alan M. Taylor,Moritz Schularick. DP7570 Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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