演講者簡介 : Professor Chang received her Ph.D. in Economics from Northwestern University. She is currently an Assistant Professor at Wisconsin School of Business, UW-Madison. Her primary research interests are in market microstructure, information economics, search theory, and the impact of market frictions on asset trading and firms’ investment dynamics.
演講摘要 : This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous trading models based on random matching or exogenous networks, we allow traders to explicitly choose their trading partners as well as the number of trading links in a dynamic framework. Even though all traders have the same trading technology, we show that traders with higher trading needs (i.e., ones with higher exposures to risks) optimally choose to match with traders with lower needs for trade, and they build fewer links in equilibrium. As a result, traders with the least trading need turn out to be the most connected and have the highest gross trade volume. The model therefore endogenously generates a core-periphery trading network that we often observe: a financial architecture that involves a small number of large, interconnected institutions. We use this framework to study bid-ask spreads, trading volume, and asset allocation. We further analyze the financial interdependence as well as the propagation of shocks within the system by applying the model to unsecured lending markets.
