Incomplete Markets and Macroeconomics Linkages

该研究调查了国际金融的重要性， 宏观经济活动的市场联系。 它分为 三个相关的主题，每一部分都非常关键，在提高我们的 关于金融市场和财政政策的谅解， 国际背景。 (1)金融市场和宏观经济联系。 这部分 探讨了关闭国际市场的影响， 国际商业周期特征的证券， 资产价格 具体来说，是否强加合理的资产 市场限制提高了国际预测能力 将探讨真实的商业周期模式。 (2)财政政策的国际传导。 这部分 研究国内税收转移的国际传导 根据关于下列方面的其他假设， 金融市场联系的程度。 初步研究表明 资产市场的限制可能对 财政冲击的传导。 (3)不完全资产市场与最优投资组合选择。 这 部分重新打开众所周知，但很少有人了解，“国际 多元化难题”（个人倾向于持有投资组合， 他们国家的资产占了不成比例的大部分， 相对于其在世界市场上的份额）。 当劳动 收入风险是不可保的，最优投资组合显示， 涉及国家来源证券的淡仓，以便 以最佳方式对冲这种风险。 在项目的这一部分， 观察到的偏离最优的福利效应 不完全市场下的投资组合将被研究。

The research investigates the importance of international financial market linkages for macroeconomic activity. It is divided into three related topics, each part very cruical in improving our understanding concerning financial markets and fiscal policies in an international setting. (1) Financial Markets and Macroeconomic Linkages. This part explores the effect of closing international markets in contingent securities on the character of international business cycles and asset prices. Specifically, whether imposing plausible asset market restrictions improves the predictive power of international real business cycle models will be explored. (2) The International Transmission of Fiscal Policy. This part studies the international transmission of shifts in domestic tax and expenditure policies, under alternative assumptions concerning the extent of financial market linkages. Initial research suggests that asset market restrictions are likely to be very important for the transmission of fiscal shocks. (3) Incomplete Asset Markets and Optimal Portfolio Choice. This part reopens the well known, but little understood, "international diversification puzzle" (individuals tend to hold portfolios in which their country's assets represent a disproportionately large share, relative to their share in the world market). When labor income risk is non-insurable, the optimal portfolio is shown to involve a short position in securities of national origin, in order to optimally hedge this risk. In this part of the project, the welfare effects of the observed deviations from the optimal portfolio under incomplete markets will be investigated.