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008201223t20202020oncd    ob   f000 0 eng d
040 |aCaOODSP|beng|erda|cCaOODSP
0861 |aFB3-5/2020-55E-PDF
1001 |aErgun, Lerby M., |eauthor.
24510|aStrategic uncertainty in financial markets : |bevidence from a consensus pricing service / |cby Lerby M. Ergun and Andreas Uthemann.
264 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020.
264 4|c©2020
300 |a1 online resource (ii, 54 pages) : |bgraphs.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-55
500 |aCover title.
500 |a"Last updated: December 18, 2020."
504 |aIncludes bibliographical references (pages 29-31).
5203 |a"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.
650 0|aIndustrial organization (Economic theory)
650 0|aPricing|xEconometric models.
650 6|aÉconomie industrielle.
650 6|aPrix|xFixation|xModèles économétriques.
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2020-55.|w(CaOODSP)9.806221
85640|qPDF|s812 KB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-55-eng.pdf