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Seminarios académicos y conferencias

Juan Passadore, Enaudi / IMF

"Liquidity and Risk in OTC Markets: A Theory of Asset Pricing and Portfolio Flows"

We develop an asset-pricing model with heterogeneous investors and search frictions. Trade is intermediated by risk-neutral dealers subject to capacity constraints. Risk-averse investors can direct their search towards dealers based on price and execution speed. Order flows affect the risk premium, volatility, and equilibrium interest rate. We propose a new solution method to characterize the equilibrium analytically. We assess the quantitative implications of the model in response to a large adverse shock. Consistent with the empirical evidence from the COVID-19 crisis, we find an increase in the risk premium and market illiquidity, and a decline in interest rates.

27 Mayo 2022 - 14:00

Este seminario se realizará en formato 100% online (no habrá sala híbrida)