Competing for Order Flow in OTC Markets

被引：31

作者：

Lester, Benjamin ^{[1
]}

Rocheteau, Guillaume ^{[2
,3
]}

Weill, Pierre-Olivier ^{[4
,5
,6
]}

机构：

[1] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA

[2] Univ Calif Irvine, Irvine, CA USA

[3] Univ Paris 02, Lemma, F-75231 Paris 05, France

[4] Univ Calif Los Angeles, Los Angeles, CA USA

[5] NBER, Cambridge, MA 02138 USA

[6] CEPR, London, England

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2015年 / 47卷

关键词：

OTC markets; competitive search; transaction costs; ASSET MARKETS; SEARCH; LIQUIDITY; PRICES; EQUILIBRIUM; EFFICIENCY; COSTS; BOND;

D O I：

10.1111/jmcb.12215

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a model of a two-sided asset market in which trades are intermediated by dealers and are bilateral. Dealers compete to attract order flow by posting the terms at which they execute tradeswhich can include prices, quantities, and execution speedand investors direct their orders toward dealers who offer the most attractive terms. We characterize the equilibrium in a general setting, and we illustrate theoretically and numerically how the model can account for several important trading patterns in over-the-counter markets, which do not emerge from existing models.

引用

页码：77 / 126

页数：50

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