OTC Discount

The authors are thankful for comments from the participants at the 8th Bundesbank Term Structure Workshop, the 31st Australasian Finance and Banking Conference, the 16th Paris December Finance Meeting, the 6th International Conference on Sovereign Bond Markets, the 2019 Annual Meeting of the Swiss Society for Financial Market Research, the 2nd Workshop on Over-the-Counter Markets, the 12th Annual Meeting of the Society for Financial Econometrics, the 27th Finance Forum, and the 26th Annual Meeting of the German Finance Association as well as Mario Bellia, Pierre Collin-Dufresne, Marco Di Maggio, Darrell Duffie, Peter Egger, Michael Fleming, Yalin Gündüz, Terrence Hendershott, Edith Hotchkiss, Sven Klingler (discussant), Juliane Krug (discussant), Tomy Lee (discussant), Fabrizio Lillo, Albert Menkveld, Florian Nagler (discussant), Stanislava Nikolova, Christian Opp, Roberto Pascual (discussant), Paolo Pasquariello, Angelo Ranaldo, Torsten Rothe, Stephen Schaefer, Kathi Schlepper, Norman Schürhoff (discussant), Philipp Schuster (discussant), Duane Seppi, Marti G. Subrahmanyam, Sebastian Vogel (discussant), Thomas Weinberg, Haoxiang Zhu, and numerous market participants. This paper represents the views of the authors and does not necessarily reflect the views of the Reserve Bank of Australia, the Deutsche Bundesbank, or the Eurosystem. This research was conducted as part of Calebe De Roure’s PhD studies at the Frankfurt School of Finance & Management. All errors are the authors’ own.