SUERF Policy Brief

SUERF Policy Brief

SUERF Policy Brief

SUERF Policy Brief

Pricing of Interdealer OTC Derivatives in a Limit Order Market: Evidence From Indian OIS Trade‐Level Data

Using regulatory interdealer trade‐level data on overnight indexed swaps (OIS) in India, the paper examines the trading behavior and prices in an interdealer market populated by traders of varying liquidity needs. Inactive investors receive a lower return relative to active investors when trading outside a central li...

International Arbitrage Premia

We introduce the nonlinear arbitrage correction (NAC), the residual that renders a linear benchmark model arbitrage-free while preserving the law of one price. The price of NAC captures the marginal Sharpe ratio increase consistent with no-arbitrage and upper-bounds the constrained Hansen–Jagannathan distance. Using...

A DSGE Model with Interbank Market Failure - The Role of Macro-prudential Policies ⇤