| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22461 |
| 来源ID | Working Paper 22461 |
| Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets | |
| Nina Boyarchenko; David O. Lucca; Laura Veldkamp | |
| 发表日期 | 2016-08-01 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | The use of order flow information by financial firms has come to the forefront of the regulatory debate. A central question is: Should a dealer who acquires information by taking client orders be allowed to use or share that information? We explore how information sharing affects dealers, clients and issuer revenues in U.S. Treasury auctions. Because one cannot observe alternative information regimes, we build a model, calibrate it to auction results data, and use it to quantify counter-factuals. We estimate that yearly auction revenues with full-information sharing (with clients and between dealers) would be $5 billion higher than in a "Chinese Wall" regime in which no information is shared. When information sharing enables collusion, the collusion costs revenue, but prohibiting information sharing costs more. For investors, the welfare effects of information sharing depend on how information is shared. Surprisingly, investors benefit when dealers share information with each other, not when they share more with clients. For the market, when investors can bid directly, information sharing creates a new financial accelerator: Only investors with bad news bid through intermediaries, who then share that information with others. Thus, sharing amplifies the effect of negative news. Tests of two model predictions support its key features. |
| 主题 | Microeconomics ; Market Structure and Distribution ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w22461 |
| 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/580135 |
| 推荐引用方式 GB/T 7714 | Nina Boyarchenko,David O. Lucca,Laura Veldkamp. Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets. 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 | ||
| w22461.pdf（602KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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