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来源类型Working Paper
规范类型报告
DOI10.3386/w10816
来源IDWorking 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
URLhttps://www.nber.org/papers/w10816
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/568449
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GB/T 7714
Darrell Duffie,Nicolae Garleanu,Lasse Heje Pedersen. Over-the-Counter Markets. 2004.
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