期刊
JOURNAL OF FINANCIAL MARKETS
卷 39, 期 -, 页码 24-43出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.finmar.2018.01.002
关键词
Gilt market; Liquidity; Inter-dealer trading
Using primary dealer transactional data from the government bond (gilt) market in the United Kingdom, we identify a new channel through which dealer funding constraints may impair liquidity in two-tiered OTC markets. The key finding is that funding constraints also inhibit dealers' ability to accommodate each others' trade requests in the inter-dealer segment, which limits their collective ability to manage inventories and share risk. As a result, funding constraints end up compromising liquidity above and beyond any direct effects caused by dealers' inability to accommodate client trade requests due to their individual balance sheet constraints. (C) 2018 The Bank of England. Published by Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据