Discriminatory Pricing Of Over The Counter Derivatives

Author : Hau Harald
Publisher : International Monetary Fund
ISBN 13 : 1498303773
Total Pages : 45 pages
Book Rating : 4.74/5 ( download)

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Download or read book Discriminatory Pricing of Over-the-Counter Derivatives written by Hau Harald and published by International Monetary Fund. This book was released on 2019-05-07 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.

Author : Harald Hau
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.46/5 ( download)

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Download or read book Discriminatory Pricing of Over-the-counter Derivatives written by Harald Hau and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Harald Hau
Publisher : International Monetary Fund
ISBN 13 : 149831435X
Total Pages : 45 pages
Book Rating : 4.50/5 ( download)

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Download or read book Discriminatory Pricing of Over-the-Counter Derivatives written by Harald Hau and published by International Monetary Fund. This book was released on 2019-05-07 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.

Author : Luc Nijs
Publisher : Springer Nature
ISBN 13 : 3030347435
Total Pages : 822 pages
Book Rating : 4.37/5 ( download)

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Download or read book The Handbook of Global Shadow Banking, Volume I written by Luc Nijs and published by Springer Nature. This book was released on 2020-06-30 with total page 822 pages. Available in PDF, EPUB and Kindle. Book excerpt: This global handbook provides an up-to-date and comprehensive overview of shadow banking, or market-based finance as it has been recently coined. Engaging in financial intermediary services outside of normal regulatory parameters, the shadow banking sector was arguably a critical factor in causing the 2007-2009 financial crisis. This volume focuses specifically on shadow banking activities, risk, policy and regulatory issues. It evaluates the nexus between policy design and regulatory output around the world, paying attention to the concept of risk in all its dimensions—the legal, financial, market, economic and monetary perspectives. Particular attention is given to spillover risk, contagion risk and systemic risk and their positioning and relevance in shadow banking activities. Newly introduced and incoming policies are evaluated in detail, as well as how risk is managed, observed and assessed, and how new regulation can potentially create new sources of risk. Volume I concludes with analysis of what will and still needs to happen in the event of another crisis. Proposing innovative suggestions for improvement, including a novel Pigovian tax to tame financial and systemic risks, this handbook is a must-read for professionals and policy-makers within the banking sector, as well as those researching economics and finance.

Author : Sabrina Leo
Publisher :
ISBN 13 : 100941173X
Total Pages : 370 pages
Book Rating : 4.38/5 ( download)

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Download or read book The Role of Distributed Ledger Technology in Banking written by Sabrina Leo and published by . This book was released on 2023-11 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Distributed Ledger Technology (DLT) is a way of managing, storing, and sharing information over a distributed network. The position of DLT in banking can be seen as controversial as it is a rapidly evolving technology with both potential benefits and challenges. The Role of Distributed Ledger Technology in Banking presents a balanced assessment of both the opportunities and risks behind such recent innovations. Combining theory and practice, it explores the impact of DLT in the banking sector and offers the opportunity to exploit different points of view from different disciplines. It presents topics from both a theoretical and practical point of view, highlighting concrete applications. Written by a team of experts from academia and the banking sector, this book looks at DLT not as a threat but as an exciting opportunity to bring the banking/financial system in the future.

Author : Camila Casas
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 81 pages
Book Rating : 4.88/5 ( download)

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Download or read book The Dominant Currency Financing Channel of External Adjustment written by Camila Casas and published by International Monetary Fund. This book was released on 2023-08-11 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide evidence of a new channel through which exchange rates affect trade. Using a novel identification strategy that exploits firms’ maturity structure of foreign currency debt around a large depreciation in Colombia, we show that firms experiencing a stronger debt revaluation of dominant currency debt due to a home currency depreciation compress imports relatively more while exports are unaffected. Dominant currency financing does not lead to an import compression for firms that export, hold foreign currency assets, or are active in the foreign exchange derivatives markets, as they are all hedged against a revaluation of their debt. These findings can be rationalized through the prism of a model with costly state verification and foreign currency borrowing. Quantitatively, the dominant currency financing channel explains a significant part of the external adjustment process in addition to the expenditure switching channel. Pricing exports in the dominant currency, instead of the producer’s currency, mutes the effect of dominant currency financing on trade flows.

Author : Group of Ten. Committee on Payment and Settlement Systems
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.71/5 ( download)

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Download or read book Recommendations for Central Counterparties written by Group of Ten. Committee on Payment and Settlement Systems and published by . This book was released on 2004 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : United States. Congress. House. Committee on Financial Services
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.57/5 ( download)

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Download or read book Reform of the Over-the-counter Derivative Market written by United States. Congress. House. Committee on Financial Services and published by . This book was released on 2010 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities, Insurance, and Investment
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.92/5 ( download)

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Download or read book Over-the-counter Derivatives written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities, Insurance, and Investment and published by . This book was released on 2010 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Bassam Fattouh
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.44/5 ( download)

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Download or read book Anatomy of the Crude Oil Pricing System written by Bassam Fattouh and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: