| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20608 |
| 来源ID | Working Paper 20608 |
| Competing for Order Flow in OTC Markets | |
| Benjamin Lester; Guillaume Rocheteau; Pierre-Olivier Weill | |
| 发表日期 | 2014-10-20 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We develop a model of a two-sided asset market in which trades are intermediated by dealers and are bilateral. Dealers compete to attract order flow by posting the terms at which they execute trades-- which can include prices, quantities, and execution speed--and investors direct their orders toward dealers that offer the most attractive terms. We characterize the equilibrium in a general setting, and illustrate how the model can account for several important trading patterns in over-the-counter markets which do not emerge from existing models. We then study two special cases which allow us to highlight the differences between these existing models, which assume investors engage in random search for dealers and then use ex post bargaining to determine prices, and our model, which utilizes the concept of competitive search in which dealers post terms of trade. Finally, we calibrate our model, illustrate that it generates reasonable quantitative outcomes, and use it to study how trading frictions affect the per-unit trading costs that investors pay in equilibrium. |
| 主题 | Microeconomics ; General Equilibrium ; Economics of Information ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20608 |
| 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/578282 |
| 推荐引用方式 GB/T 7714 | Benjamin Lester,Guillaume Rocheteau,Pierre-Olivier Weill. Competing for Order Flow in OTC Markets. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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