The Value of Central Clearing

• 成果类型: Article
• 署名作者: Vuillemey, Guillaume
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12902
• 发表日期: 2020
• 页码: 2021-2053
• 关键词: Counterparty risk; MARKET; management; liquidity

摘要

I study a contracting innovation that suddenly insulated traders of hedging contracts against counterparty risk: central clearing counterparties (CCPs) for derivatives. The first CCP was created in Le Havre (France) in 1882, in the coffee futures market. Using triple difference-in-differences estimation, I show that central clearing changed the geography of trade flows Europe-wide, to the benefit of Le Havre. Inspecting the mechanism using trader-level data, I find that the CCP solved both a missing market problem and adverse selection issues. Central clearing also facilitated entry of new traders in the market. The successful contracting innovation quickly spread to other exchanges.