World Finance and the Us 'New Economy': Risk Sharing and Risk Exposure
World Finance and the Us 'New Economy': Risk Sharing and Risk Exposure
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世界金融与美国“新经济”：风险分担与风险暴露
DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
Lei Zhang
中科院分区：
文献类型：
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作者：
Marcus Miller;Lei Zhang
上世纪90年代末，美国“新经济”的前景吸引了大量股权流入，帮助为该国不断扩大的经常账户赤字提供资金。然而，在2000年达到顶峰后，美国股市下跌了约8万亿美元。为了在这种情况下评估国际金融市场的福利效应，我们使用了一个分析上易于处理的（两国、两期、两态）全球经济模型，该模型允许经历有利供给侧“冲击”的国家在预期未来产出的基础上消费更多，并通过出售股票来分散风险。然而，由于非理性繁荣和扭曲的企业激励可能导致严重的资产高估，资产价格“泡沫”也包括在内，市场参与者将不合理的可能性分配给高回报。相对于自给自足，金融市场国际化确实能带来福利收益。但与在全球范围内以虚高的价格出售股票可能带来的国际财富转移相比，这些都微不足道。参数变化表明，这一结论是相当稳健的。一项经过校准的计算显示，为“新经济”提供资金的资本流入可能是经常账户消费平滑赤字的两倍；以及当泡沫破裂时，由于“不幸”或“过度上涨可能性”而导致的市场损失如何对消费产生全球性影响。这一分析补充了最近对传导机制的计量经济学研究。这些研究发现，需要金融因素来解释为何欧洲经济受到始于2002年的美国经济衰退的严重影响。
The promising prospect of a ‘New Economy’ in the US attracted substantial equity inflows in the late 1990s, helping to finance the country’s burgeoning current account deficit. After peaking in 2000, however, US stocks fell by some 8 trillion dollars in value. To assess the welfare effects of international financial markets in this context, we use an analytically tractable (two-country, two-period, two-state) model of the global economy which allows the country experiencing the favourable supply side ‘shock’ to consume more against expected future output and to spread risk by selling shares. Since irrational exuberance and distorted corporate incentives can cause serious asset overvaluation, however, an asset price ‘bubble’ is also included, where market participants assign unwarranted likelihood to high pay offs. Relative to autarky, internationalizing financial markets does offer welfare gains. But these are small relative to the international wealth transfer that can arise from selling shares globally at inflated prices. Parameter variations suggest that this conclusion is quite robust. A calibrated exercise shows how capital inflows to finance the ‘New Economy’ can be twice the consumption-smoothing deficit on current account; and how market losses – due to ‘misfortune’ or ‘excess upside probability’ – can have global effects on consumption when the bubble bursts. The analysis complements recent econometric studies of the transmission mechanism which find that financial factors are needed to explain why the European economy was so strongly affected by the US downturn starting in 2002.
国际风险分担、内生生产力冲击和经济增长
DOI：
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发表时间：
2011
期刊：
Mimeogravh
影响因子：
--
作者：
立松英子;立松英子;立松英子;立松英子;立松英子;立松英子;立松英子;立松英子;立松英子;立松英子;立松英子;立松英子;大野弘萌
通讯作者：
大野弘萌