Impact of Risk Aversion on Optimal Market Integration
Impact of Risk Aversion on Optimal Market Integration
复制标题
风险规避对最佳市场整合的影响
DOI：
10.11130/jei.2016.31.4.968
复制
发表时间：
2016
影响因子：
1.2
通讯作者：
Hiroaki Ohno
中科院分区：
文献类型：
--
作者：
Hiroaki Ohno
本文研究了具有生产率冲击的无限视界经济下资本存量与社会福利的均衡增长率。该分析是在国际背景下进行的，假设生产的波动性是由市场一体化程度内生决定的。有证据表明，当风险厌恶程度较高时，内生生产率风险会导致预防性储蓄和资本存量的过度积累，而一体化市场的溢出效应则有利于资本存量的积累不足。只有在这种情况下，才存在一种独特的均衡，在这种均衡中，部分市场一体化有助于增长和社会福利。当风险厌恶程度较低时，存在依赖于市场一体化程度的多重均衡，充分的市场一体化对社会福利是理想的。该模型解释了英国退出欧盟作为理性市场参与决策的一个例子。
This paper examines the equilibrium growth rate of capital stock and social welfare under an infinite-horizon economy with productivity shocks. The analysis is conducted in an international context where the volatility of production is assumed to be endogenously determined by the degree of market integration. The evidence suggests that when risk aversion is high, endogenous productivity risks can induce precautionary savings and the over-accumulation of capital stock, whereas spillovers from integrated markets are conducive to the under-accumulation of capital stock. Only in this case does a unique equilibrium exist in which partial market integration contributes to growth and social welfare. When risk aversion is low, there exist multiple equilibria depending on the degree of market integration, and full market integration is desirable for social welfare. The model gives an explanation of the withdrawal of the United Kingdom from the European Union as an example of rational market participation decisions.