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DTSTART:20221030T030000
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UID:calendar.129943.field_date.0@www.tse-fr.eu
DTSTAMP:20260313T174652Z
CREATED:20221026T121001Z
DESCRIPTION:Jamie coen (Imperial College)\, “A Structural Model of Liquidit
 y in Over-the-Counter Markets”\, Finance Seminar\, Toulouse: TSE\, Decembe
 r 9\, 2022\, 14:00–15:30\, room Auditorium 4.\n\nWe study how firm heterog
 eneity determines liquidity in over-the-counter markets. Using a rich data
 set on trading in the secondary market for sterling corporate bonds\, we b
 uild and estimate a flexible model of search and trading in which firms ha
 ve heterogeneous search costs. We show that the 8% most active traders sup
 ply as much liquidity as the remaining 92%. Liquidity is thus vulnerable t
 o shocks to these firms: if the 4% most active traders stop trading\, liqu
 idity falls by over 60%. Bank capital regulation reduces the willingness o
 f these active traders to hold assets and thus reduces liquidity. However\
 , trader search\, holdings and intermediation respond endogenously to redu
 ce the welfare costs of regulation by 30%. These costs are greater in a st
 ress\, when\nthese margins of adjustment are constrained. The introduction
  of trading platforms\, which homogenise the ability of traders to trade f
 requently\, improves aggregate welfare but harms the most active traders w
 ho currently profit from supplying liquidity.
DTSTART;TZID=Europe/Paris:20221209T140000
DTEND;TZID=Europe/Paris:20221209T153000
LAST-MODIFIED:20260113T095129Z
LOCATION:Toulouse: TSE\, December 9\, 2022\, 14:00–15:30\, room Auditorium 
 4
SUMMARY:Finance Seminar
URL;TYPE=URI:https://www.tse-fr.eu/seminars/2022-structural-model-liquidity
 -over-counter-markets
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