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Online Appendix to "Inter-Dealer Trades in OTC Markets - Who Buys and Who Sells?"

Author

Listed:
  • Chung-Yi Tse

    (University of Hong Kong)

  • Yujing Xu

    (University of Hong Kong)

Abstract

Online appendix for the Review of Economic Dynamics article

Suggested Citation

  • Chung-Yi Tse & Yujing Xu, 2020. "Online Appendix to "Inter-Dealer Trades in OTC Markets - Who Buys and Who Sells?"," Online Appendices 18-336, Review of Economic Dynamics.
    • Handle: RePEc:red:append:18-336
    Note: The original article was published in the Review of Economic Dynamics
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    File URL: https://red-files-public.s3.amazonaws.com/appendix/18/18-336/online-appendix.pdf
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    References listed on IDEAS

    as
    1. Dimitri Vayanos & Pierre‐Olivier Weill, 2008. "A Search‐Based Theory of the On‐the‐Run Phenomenon," Journal of Finance, American Finance Association, vol. 63(3), pages 1361-1398, June.
    2. Lagos, Ricardo & Rocheteau, Guillaume & Weill, Pierre-Olivier, 2011. "Crises and liquidity in over-the-counter markets," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2169-2205.
    3. Sannikov, Yuliy & Skrzypacz, Andrzej, 2016. "Dynamic Trading: Price Inertia and Front-Running," Research Papers 3487, Stanford University, Graduate School of Business.
    4. Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2020. "Frictional Intermediation in Over-the-Counter Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(3), pages 1432-1469.
    5. Monika Piazzesi & Martin Schneider, 2009. "Momentum Traders in the Housing Market: Survey Evidence and a Search Model," American Economic Review, American Economic Association, vol. 99(2), pages 406-411, May.
    6. Cimon, David & Garriott, Corey, 2019. "Banking regulation and market making," Journal of Banking & Finance, Elsevier, vol. 109(C).
    7. Di Maggio, Marco & Kermani, Amir & Song, Zhaogang, 2017. "The value of trading relations in turbulent times," Journal of Financial Economics, Elsevier, vol. 124(2), pages 266-284.
    8. Martin Schneider & Monika Piazzesi, 2009. "Momentum traders in a search model of the housing market," 2009 Meeting Papers 1266, Society for Economic Dynamics.
    9. Batchimeg Sambalaibat, 2018. "Endogenous Specialization and Dealer Networks," 2018 Meeting Papers 1278, Society for Economic Dynamics.
    10. Zhuo Zhong & Kei Kawakami, 2016. "The Risk Sharing BenefiÂ…t versus the Collateral Cost: The Formation of the Inter-Dealer Network in Over-the-Counter Trading," 2016 Meeting Papers 822, Society for Economic Dynamics.
    11. Burton Hollifield & Artem Neklyudov & Chester Spatt, 2017. "Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations," The Review of Financial Studies, Society for Financial Studies, vol. 30(9), pages 3048-3085.
    12. Zachary Bethune & Bruno Sultanum & Nicholas Trachter, 2016. "Private Information in Over-the-Counter Markets," Working Paper 16-16, Federal Reserve Bank of Richmond.
    13. Artem Neklyudov, 2019. "Bid-Ask Spreads and the Over-the-Counter Interdealer Markets: Core and Peripheral Dealers," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 57-84, July.
    14. Kiyotaki, Nobuhiro & Wright, Randall, 1989. "On Money as a Medium of Exchange," Journal of Political Economy, University of Chicago Press, vol. 97(4), pages 927-954, August.
    15. Friewald, Nils & Nagler, Florian, 2018. "Over-the-Counter Market Frictions and Yield Spread Changes," CEPR Discussion Papers 13345, C.E.P.R. Discussion Papers.
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    Cited by:

    1. Lester, Benjamin & Weill, Pierre-Olivier & Hugonnier, Julien, 2022. "Heterogeneity in decentralized asset markets," Theoretical Economics, Econometric Society, vol. 17(3), July.
    2. Pierre-Olivier Weill, 2020. "The search theory of OTC markets," NBER Working Papers 27354, National Bureau of Economic Research, Inc.

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    More about this item

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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