OTC Intermediaries

• 成果类型: Article
• 署名作者: Eisfeldt, Andrea L.; Herskovic, Bernard; Rajan, Sriram; Siriwardane, Emil
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research; United States Department of the Treasury; Office of Financial Research; Harvard University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac062
• 发表日期: 2023
• 页码: 615
• 关键词: systemic risk; INFORMATION; networks; MARKET

摘要

We study the effect of dealer exit on prices and quantities in a model of an over-the-counter market featuring a core-periphery network with bilateral trading costs. The model is calibrated using regulatory data on the entire U.S. credit default swap (CDS) market between 2010 and 2013. Prices depend crucially on the risk-bearing capacity of core dealers, yet unlike standard models featuring a dealer sector, we allow for heterogeneity in dealer risk-bearing capacity. This heterogeneity is quantitatively important. Depending on how well dealers share risk, the exit of a single dealer can cause credit spreads to rise by 8% to 24%.