Inferring Intermediary Risk Exposure from Trade

• 成果类型: Article
• 署名作者: Anderson, Chris; Liu, Weiling
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Northeastern University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.01831
• 发表日期: 2024
• 页码: 6966-6982
• 关键词: Financial Regulation; financial intermediation; finance: asset pricing; Bond markets

摘要

We propose a novel measure of intermediary risk exposure based on the fraction of all trade that is conducted between dealers, called the interdealer trade (IDT) measure. Intuitively, when dealers' aggregate risk exposure rises, they trade more with each other to redistribute inventory shocks. Consistent with risk exposures relating to expected returns, market-specific IDT measures add incremental return predictability across five different markets. For example, one-standard-deviation increases in the Treasury and foreign exchange (FX) IDT measures, respectively, forecast a 1.8% higher annual excess return on a five-year bond and a 3.7% higher annual excess return on currency-specific FX trades.