00000nam 2200000zi 4500 9.894880 CaOODSP 20221107173852 m o d f cr cn||||||||| 201223t20202020oncd ob f000 0 eng d CaOODSP eng rda CaOODSP FB3-5/2020-55E-PDF Ergun, Lerby M., author. Strategic uncertainty in financial markets : evidence from a consensus pricing service / by Lerby M. Ergun and Andreas Uthemann. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 1 online resource (ii, 54 pages) : graphs. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-55 Cover title. "Last updated: December 18, 2020." Includes bibliographical references (pages 29-31). "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. Industrial organization (Economic theory) Pricing Econometric models. Économie industrielle. Prix Fixation Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 1701-9397 ; 2020-55. (CaOODSP)9.806221 PDF 812 KB https://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-55-eng.pdf