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Banking regulation and market making

Author: David A Cimon; Bank of Canada,
Publisher: Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2017. ©2017
Series: Staff working paper (Bank of Canada), 2017-7.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
"We present a model of market makers subject to recent banking regulations: liquidity and capital constraints in the style of Basel III and a position limit in the style of the Volcker Rule. Regulation causes market makers to reduce their intermediation by refusing principal positions. However, it can improve the bid-ask spread because it induces new market makers to enter. Since market makers intermediate less,  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: David A Cimon; Bank of Canada,
OCLC Number: 976416247
Language Note: Includes abstracts in English and French.
Notes: Distributed by the Government of Canada Depository Services Program (Weekly acquisitions list 2017-09).
"February 2017."
Description: 1 online resource (ii, 59 pages).
Series Title: Staff working paper (Bank of Canada), 2017-7.
Responsibility: by David A. Cimon and Corey Garriott, Financial Markets Department, Bank of Canada.

Abstract:

"We present a model of market makers subject to recent banking regulations: liquidity and capital constraints in the style of Basel III and a position limit in the style of the Volcker Rule. Regulation causes market makers to reduce their intermediation by refusing principal positions. However, it can improve the bid-ask spread because it induces new market makers to enter. Since market makers intermediate less, asset prices exhibit a liquidity premium. Costs of regulation can be assessed by measuring principal positions and asset prices but not by measuring bid-ask spreads"--Abstract, p. ii.

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