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Displaying results 1 to 5 of 5.

  1. Frictional intermediation in over-the-counter markets
    Author: Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier
    Published: 2018
    Publisher:  Swiss Finance Institute, Geneva

    We extend Duffie, Garleanu, and Pedersen's (2005) search-theoretic model of over-the-counter asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations or inventory costs. We develop a solution... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Keine Speicherung
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    We extend Duffie, Garleanu, and Pedersen's (2005) search-theoretic model of over-the-counter asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations or inventory costs. We develop a solution technique that makes the model fully tractable and allows us to derive, in closed form, theoretical formulas for key statistics analyzed in empirical studies of the intermediation process in OTC market. A calibration to the market for municipal securities reveals that the model can generate trading patterns and prices that are quantitatively consistent with the data. We use the calibrated model to compare the gains from trade that are realized in this frictional market with those from a hypothetical, frictionless environment, and to distinguish between the quantitative implications of various types of heterogeneity across dealers

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Research paper series / Swiss Finance Institute ; no 18, 52 [und] no 18, 59
    Swiss Finance Institute Research Paper ; No. 18-59
    Subjects: Kommunalobligation; Börsenmakler; OTC-Handel; Finanzintermediation; Suchtheorie; Wohlfahrtsanalyse; Theorie; USA
    Scope: 1 Online-Ressource (circa 81 Seiten), Illustrationen
    Notes:

    Dieser Titel ist sowohl die Nr. 18-52 als auch die Nr. 18-59 der Swiss Finance Institute Research paper series
  2. Frictional intermediation in over-the-counter markets
    Author: Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier
    Published: August 2018
    Publisher:  National Bureau of Economic Research, Cambridge, MA

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1 (24956)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / National Bureau of Economic Research ; 24956
    Subjects: Kommunalobligation; Börsenmakler; OTC-Handel; Finanzintermediation; Suchtheorie; Wohlfahrtsanalyse; Theorie; USA
    Scope: 78 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  3. Frictional intermediation in over-the-counter markets
    Author: Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier
    Published: 20 August 2018
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (13126)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper series / Centre for Economic Policy Research ; DP13126
    Subjects: Kommunalobligation; Börsenmakler; OTC-Handel; Finanzintermediation; Suchtheorie; Wohlfahrtsanalyse; Theorie; USA
    Scope: 78 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  4. Frictional intermediation in overthecounter markets
    Author: Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier
    Published: January 2019
    Publisher:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

    We extend Duffie, Gˆarleanu, and Pedersen’s (2005) search theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers’ valuations or inventory costs. We... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 438
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    We extend Duffie, Gˆarleanu, and Pedersen’s (2005) search theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers’ valuations or inventory costs. We develop a solution technique that makes the model fully tractable and allows us to derive, in closed form, theoretical formulas for key statistics analyzed in empirical studies of the intermediation process in OTC markets. A calibration to the market for municipal securities reveals that the model can generate trading patterns and prices that are quantitatively consistent with the data. We use the calibrated model to compare the gains from trade that are realized in this frictional market with those from a hypothetical, frictionless environment, and to distinguish between the quantitative implications of various types of heterogeneity across dealers

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; 19, 10 (January 2019)
    FRB of Philadelphia Working Paper ; No. 19-10
    Subjects: Kommunalobligation; Börsenmakler; OTC-Handel; Finanzintermediation; Suchtheorie; Wohlfahrtsanalyse; Theorie; USA
    Scope: 1 Online-Ressource (circa 80 Seiten), Illustrationen
  5. Heterogeneity in decentralized asset markets
    Author: Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier
    Published: 2014

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (20746)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 20746
    Subjects: OTC-Handel; Kapitalmarkttheorie; Anlageverhalten; Suchtheorie; Börsenkurs; Kapitalmarktrendite; Theorie
    Scope: 70 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen