“…To the 4 See Du¢ e (2012b). 5 The framework of Du¢ e et al (2005) has also been adopted to analyze a number of issues, such as market fragmentation (Miao, 2006), clientele e¤ects (Vayanos & Wang, 2007), the congestion e¤ect (Afonso, 2011), commercial aircraft leasing (Gavazza, 2011), liquidity in corporate bond market (He & Milbradt, 2014), the co-existence of illiquid and liquid markets (Praz, 2014), the liquidity spillover between bond and CDS markets (Sambalaibat, 2015), the supply of liquid assets (Geromichalos & Herrenbrueck, 2016), and the endogenous bargaining delays (Tsoy, 2016). 6 Other papers that use the same trading framework include Lagos, Rocheteau, and Weill (2011), Lester, Rocheteau, and Weill (2015), Pagnotta and Philippon (2015), and Randall (2015).…”