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OTC Discount

delete2025-09-01
delete0
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OA
AI
C
Calebe de Roure
E
Emanuel Moench
L
Loriana Pelizzon *
M
Michael Schneider
DOI：10.1287/mnsc.2022.00194delete
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摘要

摘要

En 中文
我们记录了德国主权债券做市商市场中交易成本的层级结构，其中存在三种并存的交易协议。做市商可以通过场外交易（OTC），以双边或通过经纪商的形式进行交易，也可以在交易所进行交易。在交易所进行交易比场外交易更昂贵，而通过经纪商中介的交易比双边场外交易成本更高。场外交易折扣的存在难以与以搜寻和议价摩擦为核心的理论相协调，但与基于信息摩擦的混合市场模型相符。相应地，我们表明做市商的信息会影响其交易协议的选择，且交易成本的层级结构与各协议订单流的信息内容相一致。搜寻和议价以及信息代理解释了各协议中场外交易折扣的差异。因此，对混合市场的现实描述需要同时考虑这两种摩擦。
Keyword:
market microstructure
hybrid markets
venue choice
interdealer brokerage
fixed income
OTC markets
search frictions
information frictions
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期刊

Management Science 封面图
Management Science
IF:
4.9
论文数:
780
被引数:
5.0W

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引用论文

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