Endogenous intermediation in over-the-counter markets

• 成果类型: Article
• 署名作者: Babus, Ana; Hu, Tai-Wei
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago; Northwestern University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.04.009
• 发表日期: 2017
• 页码: 200-215
• 关键词: Over-the-counter trading; Strategic default; Dynamic network formation

摘要

We provide a theory of trading through intermediaries in over-the-counter markets. The role of intermediaries is to sustain trade. In our model, traders are connected through an informational network. Agents observe their neighbors' actions and can trade with their counterparty in a given period through a path of intermediaries in the network. Nevertheless, agents can renege on their obligations. We show that trading through an informational network is essential to support trade when agents infrequently meet the same counteparty. However, intermediaries must receive fees to implement trades. Concentrated intermediation, as represented by a star network, is both constrained efficient and stable when agents incur linking costs. The center agent in a star can receive higher fees as well. (C) 2017 Published by Elsevier B.V.