NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Counterparty Risk Externality: Centralized Versus Over-the-counter Markets

Viral V. Acharya, Alberto Bisin

NBER Working Paper No. 17000
Issued in April 2011

---- Acknowledgements -----

We are grateful to Rob Engle for insightful discussions. We also gratefully acknowledge comments from Eric Ghysels, Martin Oehmke, Marco Pagano (discussant), and seminar participants at the Federal Reserve Bank of New York, Econometric Society Meetings in Atlanta (2010), NYU-Stern Finance brown bag seminar, Macroeconomics Workshop at NYU Economics, University of Michigan, University of British Columbia and Stanford Macroeconomics. We received excellent research assistance from Rustom Irani and Hanh Le. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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