American Finance Association 2020 Annual Meeting(61)

金融经济学 · 公众号 · · 2020-02-28 21:30

正文

61期

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编辑：黄林凡审核：陆堇

Topic 61 : Intermediation and Asset Prices

The Coordination of Intermediation
Financially constrained strategic arbitrage
Pitfalls of Central Clearing in the Presence of Systematic Risk

1. The Coordination of Intermediation

Working Paper , 2 019

Ming Yang , Duke University

Yao Zeng , Yao Zeng

Abstract

We study endogenous trading among financial intermediaries, the implied intermediation chains, and market fragility in a dynamic model of intermediated asset market. We show that the endogenous emergence of an inter-dealer market affects the coordination motives in dealers’ liquidity provision decisions. In an equilibrium where the inter-dealer market is active (inactive), the intermediation chain is longer (shorter), dealers hold a higher (lower) inventory on average, and they provide more (less) liquidity. Importantly, multiple equilibria may arise, suggesting market fragility in the sense of a shutdown of trading among intermediaries and liquidity drop even without a fundamental shock.

原文链接：

https://www.aeaweb.org/conference/2020/preliminary/paper/bEinANSQ

2. Financially constrained strategic arbitrage

Working Paper , 2 019

Aytek Malkhozov , Federal Reserve Board

Gyuri Venter, Copenhagen Business School

Abstract

We develop an equilibrium model of strategic trading under Önancial constraints. Investors have access to a fundamentally riskless arbitrage opportunity, but may be forced to Öre-sell if their capital does not fully cover their losses. Investors internalize both their price impact and the e§ect of price movements on the constraints of all market participants, giving rise to a strategic motive for the less exposed investors to induce Öre-sales of more exposed ones. Ex ante, the presence of predatory risk leads to lower investment by all traders. We show the implications of strategic trading on price dynamics, returns characteristics, and leverage cross-section and dynamics.

原文链接：

https://research.cbs.dk/en/publications/financially-constrained-strategic-arbitrage

3. Pitfalls of Central Clearing in the Presence of Systematic Risk

Working Paper , 2018