Strategic uncertainty in financial markets : evidence from a consensus pricing service / by Lerby M. Ergun and Andreas Uthemann.: FB3-5/2020-55E-PDF
"This paper measures valuation and strategic uncertainty in an over-the-counter market. The analysis uses a novel data set of price estimates that major financial institutions provide to a consensus pricing service. We model these institutions as Bayesian agents that learn from consensus prices about market conditions. Our uncertainty measures are derived from their beliefs through a structural estimation. The main contribution of the consensus pricing service is to reduce strategic uncertainty in the most opaque market segments. This stresses the importance of public data, such as financial benchmarks, for a shared understanding of market conditions in markets with limited price transparency"--Abstract, page ii.
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| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Strategic uncertainty in financial markets : evidence from a consensus pricing service / by Lerby M. Ergun and Andreas Uthemann. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-55 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | Cover title. "Last updated: December 18, 2020." Includes bibliographical references (pages 29-31). |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 |
| Author / Contributor | Ergun, Lerby M., author. |
| Description | 1 online resource (ii, 54 pages) : graphs. |
| Catalogue number |
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| Subject terms | Industrial organization (Economic theory) Pricing -- Econometric models. Économie industrielle. Prix -- Fixation -- Modèles économétriques. |