融实论坛
2025年第7期，总第74期
报告题目：Equilibrium Pricing in Illiquid Crypto-currency Staking Markets
汇报人： 沈吉，北京大学副教授
时间： 2025年12月1日 （星期一），9:00-10:45
地点： A618
邀请人： 李伟
讲座摘要：The recent decades witness the burgeoning development of on-chain staking platform (DeFi). The paper constructs a unified framework to analyze the different venues for trading liquid tokens and illiquid tokens due to being staked. The economy is populated by long-lived cyrptocurrency investors with heterogeneous valuations, where an individual investor either chooses to hold liquid token or stake his token to a blockchain platform for extra reward at the loss of liquidity. We investigate the equilibrium pricing for both assets and analyze the factors and determinants of price gaps between liquid staking derivatives and underlying assets. Our empirical evidences, based on data from a large on-chain staking platform, are mostly consistent with predictions drawn from theoretical exploration. The research provides insights into cryptocurrency staking dynamics and structures relevant for investors and policy makers.
作者简介：沈吉，现任北京大学光华管理学院金融学系副教授。他在伦敦政治经济学院获得金融学博士学位。主要研究方向包括：有摩擦金融市场的资产定价理论，公司金融，金融市场，数字经济。近年来在《经济研究》、《金融研究》《世界经济》和Review of Financial Studies、Management Science等中外期刊发表论文多篇。
