Directed search in over-the-counter markets crises

I study optimal liquidity provision by dealers in Over-the-Counter (OTC) markets during crises. I develop a two-sided asset market in which all trades are intermediated by dealers. I model a crisis as an aggregate shock that reduces investor's marginal utilities, creating a large but temporary...

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Autores:: Franco Tabares, Santiago

Tipo de recurso:: Trabajo de grado de pregrado

Fecha de publicación:: 2017

Institución:: Universidad de los Andes

Repositorio:: Séneca: repositorio Uniandes

Idioma:: eng

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spelling	Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Weill, Pierre-Oliviera648e709-b3d4-464a-8984-bc17cae31a24500Zambrano Riveros, Jorge Andrésvirtual::17176-1Franco Tabares, Santiago514745002022-09-26T22:14:16Z2022-09-26T22:14:16Z2017http://hdl.handle.net/1992/61285instname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/794962-1001I study optimal liquidity provision by dealers in Over-the-Counter (OTC) markets during crises. I develop a two-sided asset market in which all trades are intermediated by dealers. I model a crisis as an aggregate shock that reduces investor's marginal utilities, creating a large but temporary selling pressure. My contribution to the literature is twofold: 1) in the model, the rate of contact between dealers and investors is given by a matching function which may exhibit congestion and 2) dealers operate in two different markets (buying and selling) where they post the terms at which they execute trade and investors direct they search toward the dealers with the most attractive terms. I characterize the competitive equilibrium and show that when posting costs are sufficiently low, then dealers provide the socially optimal amount of liquidity.Estudio la provisión óptima de liquidez por parte de corredores durante crisis en mercados Over-the-Counter (OTC). Desarrollo un modelo de mercado de dos partes en donde todas las transacciones son intermediadas por los corredores. Modelo una crisis financiera como un choque agregado que reduce las utilidades marginales de los inversionistas, creando una presión grande pero temporaria a vender. El trabajo hace dos contribuciones a la literatura: 1) en el modelo, la tasa de contacto entre corredores e inversionistas está dada por una función de emparejamiento (matching function) que puede exhibir congestión y 2) los corredores operan en dos mercados distintos (compra y venta) en donde divulgan los términos a los cuales ejecutan cada transacción. Los inversionistas dirigen su búsqueda hacía los corredores con los términos de comercio más atractivos. Caracterizo el equilibrio competitivo y muestro que, cuando los costos de transacción son lo suficientemente bajos, los corredores proveen el nivel socialmente óptimo de liquidez.EconomistaPregrado34 hojasapplication/pdfengUniversidad de los AndesEconomíaFacultad de EconomíaDirected search in over-the-counter markets crisesTrabajo de grado - Pregradoinfo:eu-repo/semantics/bachelorThesisinfo:eu-repo/semantics/acceptedVersionhttp://purl.org/coar/resource_type/c_7a1fTexthttp://purl.org/redcol/resource_type/TPMercados extrabursátiles201111909Publicationhttps://scholar.google.es/citations?user=hd1SxOIAAAAJvirtual::17176-10000-0002-3207-2848virtual::17176-1https://scienti.minciencias.gov.co/cvlac/visualizador/generarCurriculoCv.do?cod_rh=0000278386virtual::17176-11bd4dfce-4615-4ee3-80c0-bb4e9e0bd6c2virtual::17176-11bd4dfce-4615-4ee3-80c0-bb4e9e0bd6c2virtual::17176-1THUMBNAIL12346.pdf.jpg12346.pdf.jpgIM Thumbnailimage/jpeg10877https://repositorio.uniandes.edu.co/bitstreams/45e218a4-f98f-478a-a584-df1b695829f6/download4a65b303eea531db09b99d694c1c1ccdMD53ORIGINAL12346.pdfapplication/pdf447331https://repositorio.uniandes.edu.co/bitstreams/8f42a5be-4b3b-4efe-bf1a-04cf8a3d4a22/download4f7a997377e1f5756d9cf0ded1feb29fMD51TEXT12346.pdf.txt12346.pdf.txtExtracted texttext/plain70483https://repositorio.uniandes.edu.co/bitstreams/fd11d0a9-82b8-4751-a9ca-dee11b31e850/download76f51dc96b9a750f569d74b0c195b5a3MD521992/61285oai:repositorio.uniandes.edu.co:1992/612852024-03-13 15:56:50.873http://creativecommons.org/licenses/by-nc-nd/4.0/open.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co
dc.title.spa.fl_str_mv	Directed search in over-the-counter markets crises
title	Directed search in over-the-counter markets crises
spellingShingle	Directed search in over-the-counter markets crises Mercados extrabursátiles
title_short	Directed search in over-the-counter markets crises
title_full	Directed search in over-the-counter markets crises
title_fullStr	Directed search in over-the-counter markets crises
title_full_unstemmed	Directed search in over-the-counter markets crises
title_sort	Directed search in over-the-counter markets crises
dc.creator.fl_str_mv	Franco Tabares, Santiago
dc.contributor.advisor.none.fl_str_mv	Weill, Pierre-Olivier Zambrano Riveros, Jorge Andrés
dc.contributor.author.none.fl_str_mv	Franco Tabares, Santiago
dc.subject.keyword.spa.fl_str_mv	Mercados extrabursátiles
topic	Mercados extrabursátiles
description	I study optimal liquidity provision by dealers in Over-the-Counter (OTC) markets during crises. I develop a two-sided asset market in which all trades are intermediated by dealers. I model a crisis as an aggregate shock that reduces investor's marginal utilities, creating a large but temporary selling pressure. My contribution to the literature is twofold: 1) in the model, the rate of contact between dealers and investors is given by a matching function which may exhibit congestion and 2) dealers operate in two different markets (buying and selling) where they post the terms at which they execute trade and investors direct they search toward the dealers with the most attractive terms. I characterize the competitive equilibrium and show that when posting costs are sufficiently low, then dealers provide the socially optimal amount of liquidity.
publishDate	2017
dc.date.issued.spa.fl_str_mv	2017
dc.date.accessioned.none.fl_str_mv	2022-09-26T22:14:16Z
dc.date.available.none.fl_str_mv	2022-09-26T22:14:16Z
dc.type.spa.fl_str_mv	Trabajo de grado - Pregrado
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url	http://hdl.handle.net/1992/61285
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dc.language.iso.spa.fl_str_mv	eng
language	eng
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dc.format.extent.spa.fl_str_mv	34 hojas
dc.format.mimetype.spa.fl_str_mv	application/pdf
dc.publisher.spa.fl_str_mv	Universidad de los Andes
dc.publisher.program.spa.fl_str_mv	Economía
dc.publisher.faculty.spa.fl_str_mv	Facultad de Economía
institution	Universidad de los Andes
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Directed search in over-the-counter markets crises

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