Banking regulation and market making / by David A. Cimon and Corey Garriott. : FB3-5/2017-7E-PDF
“We present a model of market makers subject to recent banking regulations: liquidity and capital constraints in the style of Basel III and a position limit in the style of the Volcker Rule. Regulation causes market makers to reduce their intermediation by refusing principal positions. However, it can improve the bid-ask spread because it induces new market makers to enter. Since market makers intermediate less, asset prices exhibit a liquidity premium. Costs of regulation can be assessed by measuring principal positions and asset prices but not by measuring bid-ask spreads"--Abstract, p. ii.
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Ministère/Organisme | Bank of Canada. |
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Titre | Banking regulation and market making / by David A. Cimon and Corey Garriott. |
Titre de la série | Bank of Canada staff working paper, 1701-9397 ; 2017-7 |
Type de publication | Série - Voir l'enregistrement principal |
Langue | [Anglais] |
Format | Électronique |
Document électronique | |
Note(s) | "February 2017." Includes bibliographical references (p. 32-33). Includes abstract in French. |
Information sur la publication | [Ottawa] : Bank of Canada, 2017. |
Auteur / Contributeur | Cimon, David A. Garriott, Corey. |
Description | ii, 59 p. : charts |
Numéro de catalogue |
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Descripteurs | Banks Regulation |
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