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https://doi.org/10.21256/zhaw-26129| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | Central counterparties and liquidity provision in cash markets |
| Autor/-in: | Richter, Thomas |
| et. al: | No |
| DOI: | 10.3390/jrfm14120584 10.21256/zhaw-26129 |
| Erschienen in: | Journal of Risk and Financial Management |
| Band(Heft): | 14 |
| Heft: | 12 |
| Seite(n): | 584 |
| Erscheinungsdatum: | 2021 |
| Verlag / Hrsg. Institution: | MDPI |
| ISSN: | 1911-8074 1911-8066 |
| Sprache: | Englisch |
| Schlagwörter: | Basel III; Central counterparty; Liquidity provision; Market making |
| Fachgebiet (DDC): | 332: Finanzwirtschaft |
| Zusammenfassung: | This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance sheet encumbrance through the use of central counterparties (CCPs). The introduction of the Basel III leverage rule constitutes a shock to market makers’ balance sheets and thus affects their capacity to intermediate trades. Using trade-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following the rule change. We attribute these findings to balance sheet reductions due to the netting enabled by CCPs, thereby highlighting their importance in cash markets. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/26129 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | CC BY 4.0: Namensnennung 4.0 International |
| Departement: | School of Management and Law |
| Enthalten in den Sammlungen: | Publikationen School of Management and Law |
Dateien zu dieser Ressource:
| Datei | Beschreibung | Größe | Format | |
|---|---|---|---|---|
| 2021_Richter_Central-counterparties-liquidity-provisions-cash-markets.pdf | 829.03 kB | Adobe PDF |  Öffnen/Anzeigen |
Zur Langanzeige
Richter, T. (2021). Central counterparties and liquidity provision in cash markets. Journal of Risk and Financial Management, 14(12), 584. https://doi.org/10.3390/jrfm14120584
Richter, T. (2021) ‘Central counterparties and liquidity provision in cash markets’, Journal of Risk and Financial Management, 14(12), p. 584. Available at: https://doi.org/10.3390/jrfm14120584.
T. Richter, “Central counterparties and liquidity provision in cash markets,” Journal of Risk and Financial Management, vol. 14, no. 12, p. 584, 2021, doi: 10.3390/jrfm14120584.
RICHTER, Thomas, 2021. Central counterparties and liquidity provision in cash markets. Journal of Risk and Financial Management. 2021. Bd. 14, Nr. 12, S. 584. DOI 10.3390/jrfm14120584
Richter, Thomas. 2021. “Central Counterparties and Liquidity Provision in Cash Markets.” Journal of Risk and Financial Management 14 (12): 584. https://doi.org/10.3390/jrfm14120584.
Richter, Thomas. “Central Counterparties and Liquidity Provision in Cash Markets.” Journal of Risk and Financial Management, vol. 14, no. 12, 2021, p. 584, https://doi.org/10.3390/jrfm14120584.
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