Incomplete Markets and Macroeconomics Linkages

这项研究调查了国际金融市场联系对宏观经济活动的重要性。它分为三个相关的主题，每个部分在提高我们对国际环境下的金融市场和财政政策的理解方面都非常关键。(1)金融市场与宏观经济联系。这一部分探讨了或有证券国际市场关闭对国际经济周期特征和资产价格的影响。具体地说，将探讨实施看似合理的资产市场限制是否会改善国际实际商业周期模型的预测能力。(2)财政政策的国际传导。这一部分研究了在有关金融市场联系程度的另一种假设下，国内税收和支出政策转变的国际传递。初步研究表明，资产市场限制对于财政冲击的传导可能非常重要。(3)不完全资产市场与最优投资组合选择。这一部分重新揭开了众所周知但鲜为人知的“国际多元化谜题”(个人倾向于持有本国资产相对于其在世界市场中的份额高得不成比例的投资组合)。当劳动收入风险是不可保的时，最优投资组合被证明涉及国家起源的证券的空头头寸，以最优地对冲这一风险。在该项目的这一部分，将研究在不完全市场下观察到的偏离最优投资组合的福利效应。

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.