OTC Intermediaries
研究了做市商退出对场外市场价格和交易量的影响，利用2010-2013年美国信用违约互换市场数据校准模型，发现做市商风险承担能力的异质性会导致单一做市商退出时信用利差上升8%至24%。
Abstract We study the effect of dealer exit on prices and quantities in a model of an over-the-counter market featuring a core-periphery network with bilateral trading costs. The model is calibrated using regulatory data on the entire U.S. credit default swap (CDS) market between 2010 and 2013. Prices depend crucially on the risk-bearing capacity of core dealers, yet unlike standard models featuring a dealer sector, we allow for heterogeneity in dealer risk-bearing capacity. This heterogeneity is quantitatively important. Depending on how well dealers share risk, the exit of a single dealer can cause credit spreads to rise by 8 $\%$ to 24$\%$.