| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11518 |
| DP11518 Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets | |
| Laura Veldkamp; Nina Boyarchenko; David Lucca | |
| 发表日期 | 2016-09-20 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | The use of order flow information by financial firms has come to the forefront of the regulatory debate. A central question is: Should a dealer who acquires information by taking client orders be allowed to use or share that information? We explore how information sharing affects dealers, clients and issuer revenues in U.S. Treasury auctions. Because one cannot observe alternative information regimes, we build a model, calibrate it to auction results data, and use it to quantify counter-factuals. We estimate that yearly auction revenues would be $2.4 billion higher with full-information sharing with clients and between dealers. When information sharing enables collusion, the collusion costs revenue; but if dealers share information with clients, prohibiting information sharing may cost more. For investors, the welfare effects of information sharing depend on how information is shared. The model shows that investors can benefit when dealers share information with each other, not when they share more with clients. |
| 主题 | Financial Economics ; Industrial Organization ; Monetary Economics and Fluctuations |
| 关键词 | Treasury Auctions Asymmetric information Financial intermediation |
| URL | https://cepr.org/publications/dp11518 |
| 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/540332 |
| 推荐引用方式 GB/T 7714 | Laura Veldkamp,Nina Boyarchenko,David Lucca. DP11518 Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets. 2016. |
| 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。
