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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.894880&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Strategic uncertainty in financial markets : evidence from a consensus pricing service / by Lerby M. Ergun and Andreas Uthemann. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-55 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | Cover title. "Last updated: December 18, 2020." Includes bibliographical references (pages 29-31). |
| Information sur la publication | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 |
| Auteur / Contributeur | Ergun, Lerby M., author. |
| Description | 1 online resource (ii, 54 pages) : graphs. |
| Numéro de catalogue |
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| Descripteurs | Industrial organization (Economic theory) Pricing -- Econometric models. Économie industrielle. Prix -- Fixation -- Modèles économétriques. |
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