Optimal clearing arrangements for financial trades

• 成果类型: Article
• 署名作者: Koeppl, Thorsten; Monnet, Cyril; Temzelides, Ted
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Queens University - Canada; Rice University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.08.008
• 发表日期: 2012
• 页码: 189-203
• 关键词: Clearing; OTC vs. exchanges; private information; liquidity costs; default

摘要

Clearinghouses support financial trades by keeping records of transactions and by providing liquidity through short-term credit that participants clear periodically. We study efficient clearing arrangements for exchanges, where traders must clear with a clearinghouse, and for over-the-counter (OTC) markets, where traders can clear bilaterally. When clearing is costly, it can be efficient to subsidize OTC clearing by charging a higher clearing price for transactions conducted on exchanges. The clearinghouse then operates across both markets. Since clearinghouses offer credit, intertemporal incentives are needed to ensure settlement. When liquidity costs increase, concerns about default lead to a tightening of liquidity provision. (C) 2011 Elsevier B.V. All rights reserved.