Benchmarks in Search Markets

• 成果类型: Article
• 署名作者: Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang
• 署名单位: Stanford University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12525
• 发表日期: 2017
• 页码: 1983-2044
• 关键词: corporate bond market; sequential search; consumer search; TRANSPARENCY; price; equilibrium; uncertainty; liquidity; COSTS; MODEL

摘要

We characterize the role of benchmarks in price transparency of over-the-counter markets. A benchmark can raise social surplus by increasing the volume of beneficial trade, facilitating more efficient matching between dealers and customers, and reducing search costs. Although the market transparency promoted by benchmarks reduces dealers' profit margins, dealers may nonetheless introduce a benchmark to encourage greater market participation by investors. Low-cost dealers may also introduce a benchmark to increase their market share relative to high-cost dealers. We construct a revelation mechanism that maximizes welfare subject to search frictions, and show conditions under which it coincides with announcing the benchmark.