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Strategic uncertainty in financial markets: evidence from a consensus pricing service

This paper measures valuation and strategic uncertainty in an over-the-counter market. The analysis uses a novel data set of price estimates that major financial institutions provide to a consensus pricing service. We model these institutions as Bayesian agents that learn from consensus prices about...

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Bibliographic Details
Authors and Corporations: Ergun, Lerby M. (Author), Uthemann, Andreas (Author)
Other Authors: Uthemann, Andreas (VerfasserIn)
Edition: Last updated: December 18, 2020
Type of Resource: E-Book
Language: English
published:
[Ottawa] Bank of Canada [2020]
Series: Bank of Canada: Staff working paper ; 2020, 55
Source: Verbunddaten SWB
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