Over-the-counter markets

• 成果类型: Article
• 署名作者: Duffie, D; Gârleanu, N; Pedersen, LH
• 署名单位: Stanford University; University of Pennsylvania; New York University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/j.1468-0262.2005.00639.x
• 发表日期: 2005
• 页码: 1815-1847
• 关键词: search equilibrium; transaction costs; COMPETITION; dealer; prices; EFFICIENCY; SPREAD; money; MODEL; ask

摘要

We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers' bid and ask prices, in a dynamic model with strategic agents. Bid-ask spreads are lower if investors can more easily find other investors or have easier access to multiple marketmakers. With a monopolistic marketmaker, bid-ask spreads are higher if investors have easier access to the marketmaker. We characterize endogenous search and welfare, and discuss empirical implications.