ENTRY AND EXIT IN OTC DERIVATIVES MARKETS
成果类型：
Article
署名作者：
Atkeson, Andrew G.; Eisfeldt, Andrea L.; Weill, Pierre-Olivier
署名单位：
University of California System; University of California Los Angeles; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of California System; University of California Los Angeles; University of California System; University of California Los Angeles; Center for Economic & Policy Research (CEPR)
刊物名称：
ECONOMETRICA
ISSN/ISSBN：
0012-9682
DOI：
10.3982/ECTA11477
发表日期：
2015
页码：
2231-2292
关键词：
摘要：
We develop a parsimonious model to study the equilibrium and socially optimal decisions of banks to enter, trade in, and possibly exit, an OTC market. Although we endow all banks with the same trading technology, banks' optimal entry and trading decisions endogenously lead to a realistic market structure composed of dealers and customers with distinct trading patterns. We decompose banks' entry incentives into incentives to hedge risk and incentives to make intermediation profits. We show that dealer banks enter more than is socially optimal. In the face of large negative shocks, they may also exit more than is socially optimal when markets are not perfectly resilient.
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