| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22332 |
| 来源ID | Working Paper 22332 |
| The Value of Trading Relationships in Turbulent Times | |
| Marco Di Maggio; Amir Kermani; Zhaogang Song | |
| 发表日期 | 2016-06-13 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | This paper investigates the ways in which the network of relationships between dealers shapes their trading behavior in the corporate bond market. They charge lower spreads to dealers with whom they have the strongest ties, and this effect is all the more pronounced at times of market turmoil. Moreover, highly connected and systemically important dealers exploit their connections at the expense of peripheral dealers as well as clients, charging higher markups than to other core dealers, especially during periods of uncertainty. We show that following the collapse of a flagship dealer in 2008, trading chains lengthened by almost 20 percent and that the increase was even greater for the institutions that had the closest ties with the defaulted dealer. Finally, we find evidence that dealers drastically reduced their inventory during the financial crisis. These results can help inform the debate on the risks posed by the interconnectedness of the financial system, showing how this could be a source of market fragility and illiquidity. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w22332 |
| 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/580005 |
| 推荐引用方式 GB/T 7714 | Marco Di Maggio,Amir Kermani,Zhaogang Song. The Value of Trading Relationships in Turbulent Times. 2016. |
| 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 | ||
| w22332.pdf（797KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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