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

二、主講人：沈吉，倫敦政治經濟學院博士，目前任教于北京大學光華管理學院金融學系。目前主要的研究興趣在資産定價，宏觀理論和公司金融等。已在《經濟研究》《金融研究》《Reviewof Financial Studies》等刊物發表論文。

三、時間：2020年3月3日星期二，10:00-11:30

四、地點：騰訊會議【具體房間臨時通知】

五、主持人：彭俞超，bevictor伟德官网副教授

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.