Discriminatory Pricing of Over-the-Counter Derivatives

• 成果类型: Article
• 署名作者: Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, Yannick
• 署名单位: Centre for Economic Policy Research - UK; University of Geneva; University of Geneva; European Central Bank; International Monetary Fund
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3787
• 发表日期: 2021
• 页码: 6660-6677
• 关键词: transaction costs; OTC markets; multi-dealer platforms; relationship trading

摘要

For the first time, new regulatory data allow precise measurement of price discrimination against nonfinancial clients in the foreign exchange derivatives market. Consistent with the theoretical literature, transaction costs vary systematically with measures of client sophistication. The median client pays 10.9 pips more than blue-chip companies because of its lower level of sophistication, which compares with a sample average effective spread of 6.9 pips. However, price discrimination is fully eliminated when clients trade electronically on multidealer platforms. We also document that less sophisticated clients incur additional costs when trading with their relationship bank and in fast-moving markets, but only for bilaterally negotiated contracts.