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Project

Essays on the Microstructure of Collateral Markets

The research in this PhD investigates in detail the market microstructure of the collateral market. In recent year, this market has become a more and more crucial part of the financial system. First, the collateral framework of central banks play a key role in monetary policy and as such directly impact affect financial markets, financial stability, and ultimately the real economy. Moreover, recent financial regulatory changes in over-the-counter (OTC) markets require more and more assets to be cleared centrally or be secured by more stringent collateral requirements. Yet, despite its importance, academic research on the collateral market has been relatively scarce. This PhD fills this gap. More specifically, building on empirical (and potentially theoretical) models from the literature on the market microstructure of financial markets, it addresses, among others, questions on price formation and liquidity in collateral markets.

Date:11 Oct 2021 →  Today
Keywords:Market Microstructure, Collateral Market
Disciplines:Financial economics
Project type:PhD project