| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12525 |
| DP12525 Discriminatory Pricing of Over-The-Counter Derivatives | |
| Harald Hau; Peter Hoffmann; Sam Langfield; Yannick Timmer | |
| 发表日期 | 2017-12-21 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | New regulatory data reveal extensive discriminatory pricing in the foreign exchange derivatives market, in which dealer-banks and their non-financial clients trade over-the-counter. After controlling for contract characteristics, dealer fixed effects, and market conditions, we find that the client at the 75th percentile of the spread distribution pays an average of 30 pips over the market mid-price, compared to competitive spreads of less than 2.5 pips paid by the bottom 25% of clients. Higher spreads are paid by less sophisticated clients. However, trades on multi-dealer request-for-quote platforms exhibit competitive spreads regardless of client sophistication, thereby eliminating discriminatory pricing. |
| 主题 | Financial Economics |
| 关键词 | Dealer spreads Information rents Rfq platforms Corporate hedging |
| URL | https://cepr.org/publications/dp12525 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541336 |
| 推荐引用方式 GB/T 7714 | Harald Hau,Peter Hoffmann,Sam Langfield,et al. DP12525 Discriminatory Pricing of Over-The-Counter Derivatives. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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