Journal of Financial Intermediation
Опубликовано на портале: 14-03-2005Xavier Freixas, Bruno Parigi Journal of Financial Intermediation. 1998. Vol. 7. No. 1. P. 3-31.
The increased fragility of the banking industry has generated growing concern about the risks associated with payment systems. Although in most industrial countries different interbank payment systems coexist, little is really known about their properties in terms of risk and efficiency. How should payment systems be designed? We tackle this question by comparing the two main types of payment systems, gross and net, in a framework where uncertainty arises from several sources: the time of consumption, the location of consumption, and the return on investment. Payments across locations can be made either by directly transferring liquidity or by transferring claims against the bank in the other location. The two mechanisms are interpreted as the gross and net settlement systems in interbank payments. We characterize the equilibria in the two systems and identify the trade-off in terms of safety and efficiency
Опубликовано на портале: 02-10-2003Eugene Kandel, Michael J. Barclay, Leslie M. Marx Journal of Financial Intermediation. 1998. Vol. 7. No. 2. P. 130-150.
We study the effects of changes in bid-ask spreads on the prices and trading volumes of stocks that move from Nasdaq to the NYSE or Amex, and stocks that move from Amex to Nasdaq. When stocks move from Nasdaq to an exchange, their spreads typically decrease, but the reduction in spreads is larger when Nasdaq market makers avoid odd-eighth quotes. When stocks move from Amex to Nasdaq, their spreads typically increase, but again, the increase is larger when Nasdaq market makers avoid odd eighths. We use this data to isolate the effects of transaction costs on trading volume and expected returns. We find that higher transaction costs significantly reduce trading volume, but do not have a significant effect on prices