| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24648 |
| 来源ID | Working Paper 24648 |
| Market-making with Search and Information Frictions | |
| Benjamin Lester; Ali Shourideh; Venky Venkateswaran; Ariel Zetlin-Jones | |
| 发表日期 | 2018-05-28 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We develop a dynamic model of trading through market-makers that incorporates two canonical sources of illiquidity: trading (or search) frictions, which imply that market-makers have some amount of market power; and information frictions, which imply that market-makers face some degree of adverse selection. We use this model to study the effects of various technological innovations and regulatory initiatives that have reduced trading frictions in over-the-counter markets. Our main result is that reducing trading frictions can lead to less liquidity, as measured by bid-ask spreads. The key insight is that more frequent trading—or more competition among dealers—makes traders’ behavior less dependent on asset quality. As a result, dealers learn about asset quality more slowly and set wider bid-ask spreads to compensate for this increase in uncertainty. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w24648 |
| 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/582322 |
| 推荐引用方式 GB/T 7714 | Benjamin Lester,Ali Shourideh,Venky Venkateswaran,et al. Market-making with Search and Information Frictions. 2018. |
| 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 | ||
| w24648.pdf（480KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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