Intermediary market power and capital constraints / by Jason Allen and Milena Wittwer.: FB3-5/2023-51E-PDF
"We examine how intermediary capitalization affects asset prices in a framework that allows for intermediary market power. We introduce a model in which capital-constrained intermediaries buy or trade an asset in an imperfectly competitive market, and we show that weaker capital constraints lead to both higher prices and intermediary markups. In exchange markets, this results in reduced market liquidity, while in primary markets it leads to higher auction revenues at an implicit cost of larger price distortion. Using data from Canadian Treasury auctions, we demonstrate how our framework can quantify these effects by linking asset demand to individual intermediaries' balance sheet information"--Abstract, page ii.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.928160&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Intermediary market power and capital constraints / by Jason Allen and Milena Wittwer. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2023-51 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | ISSN assigned to different series. "Last updated: October 4, 2023." Includes bibliographical references (pages 34-39). Includes abstracts in English and French. |
| Publishing information | [Ottawa] : Bank of Canada = Banque du Canada, 2023. ©2023 |
| Author / Contributor | Allen, Jason, author. |
| Description | 1 online resource (ii, 39, 20 pages) : illustrations. |
| Catalogue number |
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| Subject terms | Intermediation (Finance) -- Canada -- Econometric models. Capital market -- Canada -- Econometric models. Capital assets pricing model. Intermédiation financière -- Canada -- Modèles économétriques. Marché financier -- Canada -- Modèles économétriques. Modèle d'évaluation des actifs financiers. |
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