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

二、主讲人：芦东，美国印第安纳大学经济学博士生。2006年本科毕业于武汉大学金融工程专业，2009年获得复旦大学金融学硕士学位。研究领域包括货币搜寻理论、金融经济学和国际经济学等。研究成果曾在《经济研究》、《经济评论》等刊物上发表。他还曾在中国人民银行外汇管理交易中心工作。

三、时间：2016年6月8日 （周三），12:30-13:30

四、地点：主教楼913会议室

五、主持人：黄志刚，靠谱的十大网投实体平台(中国)有限公司副教授

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.