Reseach Seminar

December 18 at 4.40 pm, room 3402 ICEF held Research seminar
Speaker: Artem Neklyudov (Carnegie Mellon University), ICEF graduate 2007

December 18 at 4.40 pm, room 3402 (Shabolovka st., 26) International College of Economics and Finance held the Research Seminar.
Speaker: Artem Neklyudov (Carnegie Mellon University)
Theme: «Bid-Ask Spreads and the Decentralized Interdealer Markets: Core and Peripheral Dealers»
Venue: Shabolovka st. 26, building 3, room 3211

Abstract: This paper develops a model of an over-the-counter market where dealers differ in their trade execution efficiency, to capture the core-peripheral nature of dealer networks documented in recent empirical studies. We investigate interdealer trading patterns and the relationship between dealers' trade execution efficiency and customer bid-ask spreads. In equilibrium, more efficient central dealers provide intermediation services to peripheral dealers. Customers can find better bargains when trading with peripheral dealers, even though peripheral dealers may charge wider bid-ask spreads on average. The extent of active shopping by customers explains why the relationship between dealers' trade execution efficiency and customer bid-ask spreads varies across markets. The findings are consistent with both anecdotal and empirical evidence from municipal bond markets, markets for asset-backed securities and collateralized mortgage-backed obligations.

Everyone interested is welcome to attend!

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