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Over-the-Counter Markets

Darrell Duffie

in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691138961
eISBN:
9781400840519
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691138961.003.0001
Subject:
Economics and Finance, Financial Economics

This chapter introduces the institutional setting of over-the-counter (OTC) markets and raises some of the key conceptual issues associated with market opaqueness. An OTC market does not use a ... More


Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets

Darrell Duffie

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691138961
eISBN:
9781400840519
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691138961.001.0001
Subject:
Economics and Finance, Financial Economics

Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a ... More


The Case of Federal Funds Lending

Darrell Duffie

in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691138961
eISBN:
9781400840519
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691138961.003.0002
Subject:
Economics and Finance, Financial Economics

This chapter shows how the intraday allocation and pricing of overnight loans of federal funds reflect the over-the-counter interbank market in which these loans are traded. It provides estimates of ... More


A Simple OTC Pricing Model

Darrell Duffie

in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691138961
eISBN:
9781400840519
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691138961.003.0004
Subject:
Economics and Finance, Financial Economics

This chapter presents a simple introduction to asset pricing in over-the-counter markets. Investors search for opportunities to trade and bargain with counterparties, each counterparty being aware ... More


Information Percolation in OTC Markets

Darrell Duffie

in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691138961
eISBN:
9781400840519
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691138961.003.0005
Subject:
Economics and Finance, Financial Economics

This chapter describes a simple model of the “percolation” of information of common interest through an over-the-counter market with many agents. It also includes an explicit solution for the ... More


Search for Counterparties

Darrell Duffie

in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691138961
eISBN:
9781400840519
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691138961.003.0003
Subject:
Economics and Finance, Financial Economics

This chapter introduces the modeling of search and random matching in large economies. The objective is to build intuition and techniques for later chapters. After some mathematical prerequisites, it ... More


Liquidity and Trading Frictions

Ed Nosal and Guillaume Rocheteau

in Money, Payments, and Liquidity

Published in print:
2011
Published Online:
August 2013
ISBN:
9780262016285
eISBN:
9780262298285
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262016285.003.0012
Subject:
Economics and Finance, Econometrics

This chapter expounds on the notion of the liquidity of an asset and its ability to function as a medium of exchange. Here, trading frictions are not associated with the purchase and consumption of ... More


Placeholders: Engaging the Hayekian Critique of Financial Regulation

Annelise Riles

in Collateral Knowledge: Legal Reasoning in the Global Financial Markets

Published in print:
2011
Published Online:
February 2013
ISBN:
9780226719320
eISBN:
9780226719344
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226719344.003.0005
Subject:
Economics and Finance, Financial Economics

This chapter provides a discussion of private and public governance by considering how private legal technique might translate into new public governance methods. The debate on the proper ... More


Derivatives

Harold L. Cole

in Finance and Financial Intermediation: A Modern Treatment of Money, Credit, and Banking

Published in print:
2019
Published Online:
May 2019
ISBN:
9780190941697
eISBN:
9780190949068
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190941697.003.0007
Subject:
Economics and Finance, Macro- and Monetary Economics, Financial Economics

This chapter discusses how derivative markets work, and how they can be priced within the arbitrage-based pricing model.


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