OTC Intermediaries. (12th September 2022)
- Record Type:
- Journal Article
- Title:
- OTC Intermediaries. (12th September 2022)
- Main Title:
- OTC Intermediaries
- Authors:
- Eisfeldt, Andrea L
Herskovic, Bernard
Rajan, Sriram
Siriwardane, Emil - Editors:
- Koijen, Ralph
- Abstract:
- Abstract: We study the effect of dealer exit on prices and quantities in a model of an over-the-counter market featuring a core-periphery network with bilateral trading costs. The model is calibrated using regulatory data on the entire U.S. credit default swap (CDS) market between 2010 and 2013. Prices depend crucially on the risk-bearing capacity of core dealers, yet unlike standard models featuring a dealer sector, we allow for heterogeneity in dealer risk-bearing capacity. This heterogeneity is quantitatively important. Depending on how well dealers share risk, the exit of a single dealer can cause credit spreads to rise by 8 $\%$ to 24$\%$ .
- Is Part Of:
- Review of financial studies. Volume 36:Number 2(2023)
- Journal:
- Review of financial studies
- Issue:
- Volume 36:Number 2(2023)
- Issue Display:
- Volume 36, Issue 2 (2023)
- Year:
- 2023
- Volume:
- 36
- Issue:
- 2
- Issue Sort Value:
- 2023-0036-0002-0000
- Page Start:
- 615
- Page End:
- 677
- Publication Date:
- 2022-09-12
- Subjects:
- G12 -- G20
Finance -- United States -- Periodicals
Finance -- Periodicals
332 - Journal URLs:
- http://rfs.oxfordjournals.org/ ↗
http://www.jstor.org/journals/08939454.html ↗
http://www3.oup.co.uk/revfin/ ↗
http://ukcatalogue.oup.com/ ↗ - DOI:
- 10.1093/rfs/hhac062 ↗
- Languages:
- English
- ISSNs:
- 0893-9454
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 7790.565000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 25156.xml