| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13126 |
| DP13126 Frictional intermediation in over-the-counter markets | |
| Julien Hugonnier; Pierre-Olivier Weill; Benjamin Lester | |
| 发表日期 | 2018-08-20 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We extend Duffie, Garleanu, and Pedersen's (2005) search-theoretic model of over-the-counter asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations or inventory costs. We develop a solution technique that makes the model fully tractable and allows us to derive, in closed form, theoretical formulas for key statistics analyzed in empirical studies of the intermediation process in OTC market. A calibration to the market for municipal securities reveals that the model can generate trading patterns and prices that are quantitatively consistent with the data. We use the calibrated model to compare the gains from trade that are realized in this frictional market with those from a hypothetical, frictionless environment, and to distinguish between the quantitative implications of various types of heterogeneity across dealers. |
| 主题 | Financial Economics |
| 关键词 | Over-the-counter markets Search frictions Bargaining Heterogeneous agents Intermediation |
| URL | https://cepr.org/publications/dp13126 |
| 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/541930 |
| 推荐引用方式 GB/T 7714 | Julien Hugonnier,Pierre-Olivier Weill,Benjamin Lester. DP13126 Frictional intermediation in over-the-counter markets. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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