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.
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| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Intermediary market power and capital constraints / by Jason Allen and Milena Wittwer. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2023-51 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | ISSN assigned to different series. "Last updated: October 4, 2023." Includes bibliographical references (pages 34-39). Includes abstracts in English and French. |
| Information sur la publication | [Ottawa] : Bank of Canada = Banque du Canada, 2023. ©2023 |
| Auteur / Contributeur | Allen, Jason, author. |
| Description | 1 online resource (ii, 39, 20 pages) : illustrations. |
| Numéro de catalogue |
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| Descripteurs | 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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