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From Wall Street to Main Street: The consequences of financial innovation on international trade and individual risk-bearing.

機譯：從華爾街到大街：金融創(chuàng)新對國際貿(mào)易和個人承擔風險的后果。

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0.1 The effect of financial sophistication on the trade balance. I argue that, all else equal, countries with more sophisticated financial markets will run trade deficits with countries with less sophisticated financial markets. Under autarky, more sophisticated markets allow for better risk sharing, lower demand for precautionary saving, and consequently, higher asset returns in equilibrium. When trade is allowed, capital flows to the country with higher returns, creating trade imbalances. I show that these financial sophistication-induced deficits can persist over time; countries can run trade and current account deficits forever. Anecdotal evidence about the U.S. (which arguably has the most sophisticated financial markets in the world) and Japan (which are considered less-developed by international standards) is consistent with this theory: the two countries have run massive and politically controversial trade and current account imbalances since the early 1970s.;0.2 Estimation of the benefits of financial innovation using micro level data. The financial innovations proposed by Shiller and others are based on aggregate variables like GNP. I ask how valuable are these assets to individuals whose income is not necessarily correlated with aggregate variables. To answer this, I estimate how much the creation of new markets would facilitate risk sharing across individuals. I develop a general equilibrium model that shows that one can value the increase in consumer surplus by measuring the average increase in fit of regressions of individual income on asset returns. I estimate these increases using data from the Panel Study of Income Dynamics (PSID) and the Center for Research on Securities Prices (CRSP) database. I develop a procedure that allows us then to test whether the estimated benefit is significantly different from that of an a priori useless asset.;0.3 A model which allows for the comparison of different levels of market incompleteness. I show that even with undiversifiable risks, restricted participation and incomplete markets, general equilibrium models with agents who solve mean-variance problems can be solved in a simple and intuitive way. Agents hold the two traditional funds of CAPM, the market portfolio and the riskless asset plus a portfolio that minimizes the variation of individual income. Applications to financial innovation and an extension to dynamic models are also shown.;0.4 Are indexed bonds and other proposed financial instruments redundant assets?. Can indexed bonds and other proposed financial innovations like securities which track GDP be synthesized by existing financial markets? The answer is no, in general. This suggests that the indexed bonds, recently advocated by the Clinton administration, will create a genuinely new opportunity for investors. I show this by regressing the returns of new assets on existing assets. I assume that stock returns are generated by a factor model as in the APT of Ross
機譯：0.1復雜性對貿(mào)易差額的影響。我認為，在其他所有條件相同的情況下，金融市場更為發(fā)達的國家將與金融市場不太發(fā)達的國家存在貿(mào)易逆差。在自給自足的情況下，更成熟的市場可以更好地分擔風險，降低對預防性儲蓄的需求，從而在平衡時獲得更高的資產(chǎn)收益。如果允許貿(mào)易，資本就會流向回報更高的國家，從而造成貿(mào)易不平衡。我證明，這些由財務原因引起的赤字可以隨著時間的流逝而持續(xù)存在。國家可以永遠維持貿(mào)易和經(jīng)常賬戶赤字。關于美國（可以說是世界上最復雜的金融市場）和日本（被國際標準認為不發(fā)達）的軼事證據(jù)與這一理論是一致的：兩國之間存在著規(guī)模巨大且在政治上有爭議的貿(mào)易和經(jīng)常賬戶自1970年代初以來一直處于不平衡狀態(tài)。0.2使用微觀數(shù)據(jù)估算金融創(chuàng)新的收益。 Shiller等人提出的金融創(chuàng)新是基于GNP等總體變量。我問這些資產(chǎn)對那些收入不一定與總體變量相關的個人有多大價值。為了回答這個問題，我估計新市場的建立將在多大程度上促進個人之間的風險共擔。我開發(fā)了一種一般均衡模型，該模型表明，可以通過測量個人收入對資產(chǎn)收益的回歸擬合的平均增長來評估消費者剩余的增長。我使用收入動態(tài)小組研究（PSID）和證券價格研究中心（CRSP）數(shù)據(jù)庫的數(shù)據(jù)來估算這些增長。我開發(fā)了一個程序，使我們可以測試估計的收益是否與先驗無用資產(chǎn)的收益顯著不同。; 0.3一種模型，可以比較不同級別的市場不完整性。我表明，即使存在無法分散的風險，參與受限和市場不完整的情況，具有解決均方差問題的代理商的一般均衡模型也可以通過一種簡單直觀的方式來解決。代理人持有CAPM的兩種傳統(tǒng)基金，即市場投資組合和無風險資產(chǎn)，以及可將個人收入差異最小化的投資組合。還顯示了對金融創(chuàng)新的應用和對動態(tài)模型的擴展。0.4指數(shù)債券和其他擬議的金融工具是否是多余資產(chǎn)？可以通過現(xiàn)有金融市場來合成索引債券和其他提議的金融創(chuàng)新，例如跟蹤GDP的證券嗎？一般來說，答案是否定的。這表明克林頓政府最近提倡的指數(shù)化債券將為投資者創(chuàng)造真正的新機會。我通過將新資產(chǎn)的收益回歸現(xiàn)有資產(chǎn)來證明這一點。我假設股票收益是由羅斯APT中的因素模型產(chǎn)生的

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  • 作者

    Willen, Paul Strahinja.;

  • 作者單位

    Yale University.;

  • 授予單位 Yale University.;
  • 學科 Economics General.;Economics Finance.
  • 學位 Ph.D.
  • 年度 1997
  • 頁碼 133 p.
  • 總頁數(shù) 133
  • 原文格式 PDF
  • 正文語種 eng
  • 中圖分類
  • 關鍵詞

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