Adverse selection and search congestion in over-the-counter markets

• 成果类型: Article
• 署名作者: Maekinen, Taneli; Palazzo, Francesco
• 署名单位: European Central Bank; Bank of Italy; European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103577
• 发表日期: 2024
• 关键词: Asymmetric information; search markets; market design

摘要

Asymmetric information about both private valuations of assets and their quality gives rise to uncertainty over sellers' motives of trade, allowing high-valuation holders of low-quality assets to engage in speculative trades that involve no allocative gains. When sellers compete to find buyers, such speculative behaviour not only dilutes the average quality of assets but also creates a welfare-detrimental congestion externality that lengthens the time on market for each individual seller. A market designer can mitigate the inefficiencies by imposing a transaction tax and, in the case of severe adverse selection, limiting market participation.