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    沈吉 | 第293期金融学院双周学术论坛

    [发布日期]:2020-03-02  [浏览次数]:

    一、主题:A Search Model ofthe Aggregate Demand for Safe and Liquid Assets

    二、主讲人:沈吉,伦敦政治经济学院博士,目前任教于北京大学光华管理学院金融学系。目前主要的研究兴趣在资产定价,宏观理论和公司金融等。已在《经济研究》《金融研究》《Reviewof Financial Studies》等刊物发表论文。




    Abstract: Safe and liquid assets, such as Treasury bonds, are money-like instruments that command a convenience yield. We analyze this in a search model of two assets that differ in liquidity and safety. In contrast to the reduced-form approach, which puts the safe and liquid asset in utility function, we explicitly model investors' trading needs and the trading friction. One new implication from this approach is that the marginal investor's preference for safety and liquidity is not enough in determining the premium. Instead, the distribution of investors' preferences plays a direct role. Our model implies that an increase in the supply of the liquid asset may increase or decrease the liquidity premium, depending on the distribution of investors' liquidity preference. Our model shows that investors may over- or underinvest in the search technology relative to a central planner, and that overinvestment occurs when investors' expected trading frequency is in the intermediate region.

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