Review of Economic Studies · 2022 · Jérôme Dugast、Semih Üslü、Pierre-Olivier Weill
中文摘要
监管机构是否应当鼓励交易从场外（OTC）市场迁移至集中市场？为回答这一问题，我们研究了一个模型，其中银行付出成本来决定参与场外市场、集中市场，或同时参与两个市场。银行在建立大额头寸的能力上存在差异，我们将这种能力称为交易能力。在均衡中，中等交易能力的银行发现参与集中市场是最优的。相比之下，由于存在一种内生互补性，低交易能力和高交易能力的银行发现参与场外市场是最优的。具体而言，低交易能力银行获得的交易条件逊于集中市场，但得益于高交易能力银行提供的中介服务，它们获得了更好的风险分担。高交易能力银行获得的风险分担逊于集中市场，但它们通过向低交易能力银行提供中介服务而获利。虽然社会最优的参与模式在性质上与此相似，但它要求更多客户迁移至集中市场，并要求更多交易商进入场外市场。
Abstract
Abstract Should regulators encourage the migration of trade from over-the-counter (OTC) to centralized markets? To address this question, we study a model in which banks make costly decisions to participate in an OTC market, a centralized market, or both markets at the same time. Banks differ in their ability to take large positions, what we call their trading capacity. In equilibrium, intermediate-capacity banks find it optimal to participate in the centralized market. In contrast, low- and high-capacity banks find it optimal to participate in the OTC market, due to an endogenous complementarity. Namely, low-capacity banks receive worse terms of trade than in the centralized market but better risk sharing, thanks to the intermediation services offered by high-capacity banks. High-capacity banks receive worse risk sharing than in the centralized market, but profit from the provision of intermediation services to low-capacity banks. While the social optimum has qualitatively similar participation patterns, it prescribes that more customers migrate to the centralized market, and that more dealers enter the OTC market.