Descrizione del progetto
Spiegare l’esistenza di attività non negoziate
La maggior parte delle attività finanziarie viene scambiata in mercati decentralizzati over-the-counter (OTC). Nei mercati OTC, una quota sostanziale delle attività disponibili non è negoziata. In questo contesto, il progetto NTAOTC, finanziato dal CER, esaminerà il motivo per cui molte attività nei mercati OTC non vengono scambiate. L’idea della proposta è di capire se le attività non negoziate sono dovute a frizioni di mercato o a frizioni di agenzia. Ad esempio, le frizioni di mercato potrebbero essere rappresentate dal fatto che gli agenti devono trovare controparti disposte a negoziare (esistono costi di ricerca) o da vincoli degli intermediari finanziari, mentre i problemi di incentivo degli agenti costituiscono frizioni di agenzia.
Obiettivo
Many financial assets trade in decentralized over-the-counter (OTC) markets, that is, there is no centralized marketplace and investors need to search for counterparties that are willing to trade. Contrary to centralized markets, in OTC markets a substantial share of available assets is non-traded. Existing OTC market research focuses on frequently traded assets but is unable to talk about non-traded assets (NTA). But, why do many assets in OTC markets not trade in the first place? Which frictions give rise to NTA? These questions are highly relevant for policy makers and financial stability as well because OTC markets play a central role in the financial system. This proposal presents three empirical projects that will advance our understanding of the role of intermediation frictions in OTC markets through a novel perspective—the lens of NTA.
Exploiting unique data for one of the largest OTC markets (U.S. corporate bonds), the research agenda comprises the following components:
1) Search Frictions and Non-Traded Assets. This part examines the role of search frictions for NTA. Ex-ante it is not obvious whether a large share of NTA is symptomatic of low or high search frictions. The idea is to exploit different types of shocks that affect investors’ search frictions and to investigate their impact on NTA.
2) Financial Intermediaries and Non-Traded Assets. This part studies whether financial intermediaries matter for NTA. Do assets trade more likely when intermediaries are financially unconstrained? To answer this question, the idea is to exploit detailed data on trading links between investors and dealers.
3) Corporate Finance and Non-Traded Assets. This part examines whether firms derive financial flexibility from NTA. If assets do not trade, then their investor base remains stable and investor-issuer relationships emerge. The idea is to study whether firms are more likely to implement debt management policies in NTA.
Campo scientifico
Parole chiave
Programma(i)
- HORIZON.1.1 - European Research Council (ERC) Main Programme
Argomento(i)
Meccanismo di finanziamento
HORIZON-ERC - HORIZON ERC GrantsIstituzione ospitante
20136 Milano
Italia