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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w10816 |
来源ID | Working Paper 10816 |
Over-the-Counter Markets | |
Darrell Duffie; Nicolae Garleanu; Lasse Heje Pedersen | |
发表日期 | 2004-10-04 |
出版年 | 2004 |
语种 | 英语 |
摘要 | We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other as well as marketmakers' bid and ask prices in a dynamic model with strategic agents. Bid-ask spreads are lower if investors can more easily find other investors, or have easier access to multiple marketmakers. With a monopolistic marketmaker, bid-ask spreads are higher if investors have easier access to the marketmaker. We characterize endogenous search and welfare, and discuss empirical implications. |
主题 | Financial Economics ; Financial Markets |
URL | https://www.nber.org/papers/w10816 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568449 |
推荐引用方式 GB/T 7714 | Darrell Duffie,Nicolae Garleanu,Lasse Heje Pedersen. Over-the-Counter Markets. 2004. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w10816.pdf(314KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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