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Comparing Search and Intermediation Frictions Across Fixed-Income Markets

Gabor Pinter,Jean-Charles Wijnandts, Semih Uslu   Apr 30,2025

Working Paper No.00150-00

We develop a two-asset search-and-bargaining model of OTC trading to estimate frictions and welfare losses in the UK government and... Read More

The Rise of Factor Investing: Asset Market Implications and "Passive" Security Design

Douglas Xu, Shiyang Huang Lin William Cong (叢林)   Nov 21,2024

Working Paper No.00133-01

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that... Read More

Centralizing Over-The-Counter Markets?

Jason Allen, Milena Wittwer   Jul 18,2023

Working Paper No.00109-00

In traditional over-the-counter markets, investors trade bilaterally through intermediaries. We assess whether and how to shift trades on a centralized... Read More

Intermediary Capital Constraints and Market Power

Jason Allen, Milena Wittwer   Jul 18,2023

Working Paper No.00110-00

We examine how intermediary capitalization affects  asset prices in a framework that allows for intermediary market power.  We introduce a... Read More