The Bid-Ask Spread in the Black Market for Dollars in Brazil: Note
研究巴西美元黑市买卖价差的时间序列，验证Demsetz-Bagehot理论在非制度化市场中的适用性，并揭示该市场特有结构对价差的影响。
Several studies have offered empirical support for the Demsetz-Bagehot theory of dealer services and bid-ask spreads. The tests have always concentrated on bid-ask spreads or price dispersion in cross-section studies of securities markets. Thus Stoll (1978), for example, tested a theory of the bid-ask spreads in the over-the-counter market for common stocks, and Garbade and Silber (1976) studied price dispersion in the market for U.S. government bonds. In each case the object was to determine the spreads associated with different securities depending on their characteristics such as trading volume or risk. The present study, by contrast, focuses on the time series of the bid-ask spread. We report on the bid-ask spreads in the black market for dollars and show support for the theory of spreads in a market far less institutionalized than the U. S . capital markets . Moreover, structural features of the market not present in security markets are shown to influence the spread. The theory of bid-ask spreads was developed by Demsetz (1968) and has since been extended in a number of papers among which Garbade and Silber (1976) and Ho and Stoll (1981) are of particular interest for our questions. The literature is comprehensively reviewed in Cohen, Maier, Schwartz, and Whitcomb (1979). The theory views dealers as providers of liquidity services. The exchange houses provide a liquidity service in standing ready to buy or sell securities in our case U.S. dollarsthus saving potential customers the need to search and the possibility of illiquidity. In exchange for this service the dealer can charge a fee that takes the form of a bid-ask spread. The spread covers the costs of running the establishment and specific costs of making the market. There are in particular two costs of market making. One is the opportunity cost of carrying a cash inventory and the other arises from the risk of dealing with customers who have potential inside information. The inventory costs arise because there is not perfect synchronization between inflows and outflows. The cost is given by the interest rate times the average inventory position. Customers with inside information pose a risk because they may have privileged access to news about exchange rate changes, trade restrictions, or political events that will influence the market. These customers cannot be dis-