In an economy with restrictions on liquidity, individuals have greater difficulty starting their business because of a lack of sufficient financing from banks. We study the impact of such constraints, and also the effect of business start-up costs, on the relationship between individual wealth and the proportion of self-employed individuals in the economy. Banks agree to grant credits provided individual wealth is likely to constitute a sufficient guarantee against loans. In such an economy, the probability of becoming self-employed therefore increases with individual wealth. The dynamic model of business start-up choice, developed in this paper, actually predicts a growing correlation between wealth and the proportion of self-employed workers in the economy. It also predicts that this growing correlation will weaken when business start-up costs are taken into account. Three databases (Share, Elsa and HRS) provide comparable information on over 50-year-olds in nine countries characterised by apparently similar levels of business start-up costs and restrictions on liquidity. The estimates tend to confirm that the restrictions on liquidity do indeed influence the decision to go self-employed. Moreover, business start-up costs weaken the relationship between individual wealth and the probability of being self-employed: the influence of liquidity restrictions on business start-ups is greater when business start-up costs are higher. Our results underline the importance of the combined impact of liquidity restrictions and business start-up costs on the decision to become self-employed. A policy of financial assistance for entrepreneurs would be of little use if business start-up costs remain high.