Economics of Financial Markets

金融市场经济学

• 批准号: 9308589
• 负责人: William Zame
• 金额: $ 10.02万
• 依托单位: Johns Hopkins University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1993
• 资助国家: 美国
• 起止时间: 1993-09-01 至 1995-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9308589&HistoricalAwards=false
• 关键词: Economics; Financial; Markets

9308589 Zame There is substantial empirical evidence to suggest that individual consumption is poorly correlated with aggregate consumption. Such data is difficult to reconcile with the picture suggested by the standard Arrow-Debreu complete markets model. One explanation might be that markets are in fact incomplete - and incompleteness of markets seems to be an observational fact. Unfortunately, this explanation begs several questions: Why should markets be incomplete? If markets are incomplete, what markets are missing, and which are present? Should incompleteness of markets be expected to matter? Four topics are studied which address these questions: 1. Does Market Incompleteness Matter? Can mutual insurance - through simple borrowing and lending - substitute for the full range of contingent contracts? 2. Innovation of Futures Contracts. If exchanges behave strategically in the innovation of financial securities, what securities should we expect to see? In what circumstances will exchanges have the proper incentives to offer a complete set of financial securities? 3. Economic Implications of Collateral. What are the economic implications of the fact that collateral is required for many loans? In particular, how do collateral requirements affect the set of assets that are offered, the price and price volatility of assets and commodities, and the efficiency of equilibrium allocations? 4. A Non-standard Approach to Models of Continuous Trading. What are the properties of markets in which assets are traded frequently, but financial markets remain dynamically incomplete?

[308589] Zame有大量的经验证据表明，个人消费与总消费的相关性很差。这样的数据很难与标准的阿罗-德布鲁完全市场模型所显示的图景相一致。一种解释可能是，市场实际上是不完整的——而市场的不完整似乎是一种观察事实。不幸的是，这种解释回避了几个问题：为什么市场应该是不完整的？如果市场是不完全的，那么哪些市场是缺失的，哪些是存在的？市场的不完全性应该引起重视吗？研究了四个主题来解决这些问题：1。市场不完全性重要吗？相互保险——通过简单的借贷——能否取代各种或有合同？2. 期货合约的创新。如果交易所在金融证券创新方面采取战略行动，我们应该期待看到什么样的证券？在什么情况下，交易所才会有适当的动机来提供一整套金融证券？3. 抵押品的经济含义。许多贷款都需要抵押品，这一事实的经济含义是什么？特别是，抵押品要求如何影响所提供的资产，资产和商品的价格和价格波动，以及均衡分配的效率？4. 连续交易模型的非标准方法。资产交易频繁，但金融市场仍然动态不完整的市场有什么特性？