Intermediation Networks and Derivative Market Liquidity: Evidence from CDS Markets
Published: January 24, 2024
In over-the-counter markets, dealers facilitate trade by providing liquidity and acting as intermediaries. The authors present a model that links the relationships of these intermediaries to market liquidity, and they empirically test the model using supervisory data from the U.S. single-name credit default swap market (Working Paper no. 24-01).
Abstract
In over-the-counter markets, dealers facilitate trade by providing liquidity and acting as intermediaries. The authors present a model that links the relationships of these intermediaries to market liquidity, and they empirically test the model using supervisory data from the U.S. single-name credit default swap market.
Keywords: credit default swaps, dealers, intermediation costs, liquidity, OTC trading networks
JEL Classifications: D40, G12, G28, L14