Centralizing over-the-counter markets? / by Jason Allen and Milena Wittwer. : FB3-5/2021-39E-PDF
"In traditional over-the-counter (OTC) markets, investors trade bilaterally through intermediaries referred to as dealers. An important regulatory question is whether to centralize OTC markets by shifting trades onto centralized platforms. We address this question in the context of the liquid Canadian government bond market. We document that dealers charge markups even in this market and show that there is a price gap between large investors who have access to a centralized platform and small investors who do not. We specify a model to quantify how much of this price gap is due to platform access and assess welfare effects. The model predicts that not all investors would use the platform even if platform access were universal. Nevertheless, the price gap would close by 32%–47%. Welfare would increase by 9%–30% because more trades are conducted by dealers who have high values to trade"--Abstract, page ii.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.903151&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Centralizing over-the-counter markets? / by Jason Allen and Milena Wittwer. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-39 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "Last updated: August 10, 2021." Includes bibliographical references (pages 40-44). |
| Information sur la publication | Ottawa, Ontario : Bank of Canada = Banque du Canada, 2021. ©2021 |
| Auteur / Contributeur | Allen, Jason, author. |
| Description | 1 online resource (ii, 44, 24 pages) : illustrations (some colour). |
| Numéro de catalogue |
|
| Descripteurs | Over-the-counter markets -- Canada -- Econometric models. Government securities -- Prices -- Canada -- Econometric models. Marchés hors bourse -- Canada -- Modèles économétriques. Effets publics -- Prix -- Canada -- Modèles économétriques. |
Demander des formats alternatifs
Pour demander une publication dans un format alternatif, remplissez le formulaire électronique des publications du gouvernement du Canada. Utilisez le champ du formulaire «question ou commentaire» pour spécifier la publication demandée.- Date de modification :