一、主題：Over-the-counter Search Frictions in Foreign Exchange Market: Theory and Evidence

二、主講人：蘆東，美國印第安納大學經濟學博士生。2006年本科畢業于武漢大學金融工程專業，2009年獲得複旦大學金融學碩士學位。研究領域包括貨币搜尋理論、金融經濟學和國際經濟學等。研究成果曾在《經濟研究》、《經濟評論》等刊物上發表。他還曾在中國人民銀行外彙管理交易中心工作。

三、時間：2016年6月8日 （周三），12:30-13:30

四、地點：主教樓913會議室

五、主持人：黃志剛，bevictor伟德官网副教授

摘要：Trading in over-the-counter markets, such as the foreign exchange (FX) market, takes time. I construct a dynamic search-and-bargaining model with heterogeneous search ability of investors. The model predicts that asset holding distribution of investors will get more dispersed as search frictions ease. Dealers tend to charge smaller bid-ask spread for sophisticated investors than unsophisticated investors. I provide empirical confirmation for these predictions using the transaction-level data of China’s FX market. After calibrating the model, I find as search frictions diminish the annual welfare gains are less than 5% while a welfare losses can be as large as 18.6% during financial crisis. Absent any search frictions, intraday volatility will increase by 56% or equivalently 60 basis points. Some frictions in the FX market could reduce price volatility in a sense of reminiscent to Tobin’s proposal (1978) to “throw some sand in the wheels” of FX market.