DEALER INTERMEDIATION BETWEEN MARKETS Dealer Intermediation
DEALER INTERMEDIATION BETWEEN MARKETS Dealer Intermediation
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市场之间的经销商中介 经销商中介
DOI：
10.1111/jeea.12118
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发表时间：
2015
影响因子：
3.6
通讯作者：
Dunne P
中科院分区：
文献类型：
--
作者：
Dunne P
我们建立了一个动态模型的经销商之间的中介垄断的客户-经销商市场和竞争的经销商间限价令市场。经销商面临库存约束和逆向选择。我们的特点是最佳的报价设置和库存管理行为，在封闭的形式，并揭示了如何在一个细分市场的价格设置影响报价行为在其他市场。该框架用于探索两级市场结构的市场稳定性问题，并对零售价格的分散如何与交易商间限价订单簿的状态相关提供可测试的预测。来自欧洲主权债券市场的数据被用来测试库存相关的零售价格分散。
We develop a dynamic model of dealer intermediation between a monopolistic customer–dealer market and a competitive interdealer limit order market. Dealers face inventory constraints and adverse selection. We characterize the optimal quote setting and inventory management behavior for both markets in closed form and reveal how price setting in one market segment influences quote behavior in the other. The framework is used to explore market stability issues of the two-tier market structure and delivers testable predictions about how the dispersion of retail prices is related to the state of the interdealer limit order book. Data from the European sovereign bond market is used to test for inventory related retail price dispersion.