International Capital Flows with Incomplete Markets

市场不完善的国际资本流动

• 批准号: 0649442
• 负责人: Eric vanWincoop
• 金额: --
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2007
• 资助国家: 美国
• 起止时间: 2007-01-01 至 2010-12-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0649442&HistoricalAwards=false
• 关键词: International; Capital; Flows; Incomplete; Markets

The last two decades have witnessed a remarkable increase in the degree of financial integration among countries. There has been a sharp increase in both net and gross capital flows. Gross external assets and liabilities have tripled among industrialized countries as a fraction of GDP, while large net external imbalances as faced by the United States have lead to a significant debate about the external adjustment to such imbalances. Nonetheless, two and a half decades after the first models of international capital flows were developed in an inter-temporal framework, our understanding of capital flows remains very limited. Most models assume that only one risk-free bond is traded. Such a framework cannot be used to analyze gross capital flows. Moreover, changes in expected asset returns or the risk-characteristics of assets play no role since there is no portfolio choice. The goal of this project is to develop and apply a method for solving dynamic stochastic general equilibrium (DSGE) models with portfolio choice. The aim is to achieve a richer understanding of the driving forces behind capital flows and the accompanying adjustment of exchange rates, asset prices and goods prices. The methodology extends standard first and second-order solution methods for DSGE models in a way to accommodate portfolio choice. For example, it is common in models without portfolio choice to first solve the deterministic steady state, around which model equations are expanded. But portfolio choice is not well defined in a deterministic environment. It depends on second moments, such as variances and covariances of asset returns, so that even to compute the zero-order or steady state of portfolio allocation requires using the second-order component of optimality conditions for portfolio choice. Similarly, the first-order time variation of portfolio choice depends on the third-order component of the optimality conditions for portfolio choice, which captures time-varying second moments of asset returns as well as time variation in expected return differences across assets. This method has applications that reach beyond just portfolio choice, giving it broader impacts. For example, in models with precautionary savings the steady-state wealth distribution depends on the second-order component of optimality conditions for inter-temporal consumption choice which capture precautionary savings. The method is applied to two-country DSGE models, starting from a simple framework that focuses on portfolio choice alone to increasingly richer setups that introduce consumption, investment, a government and richer asset market structures. The method can also be used to fold noisy rational equilibrium models that are commonly adopted in finance, and which are generally static, into dynamic open economy setups. These models allow further richness in the form of information asymmetries across investors within and between countries. The models have implications for both gross and net capital flows and the driving forces behind capital flows. For example, under what circumstances do capital inflows and outflows move in the same direction or in opposite directions? Are capital flows mostly driven by a reallocation of portfolios across assets or by savings that is allocated across assets based on steady state portfolios? The answers to such questions in portfolio choice models can be connected to capital flows data for industrialized countries in order to learn what features of modeling are most critical to understand what drives capital flows in the data.

在过去的二十年里，各国之间的金融一体化程度显著提高。净资本流动和总资本流动都出现了大幅增长。工业化国家的对外资产和负债总额占国内生产总值的一小部分增加了两倍，而美国面临的巨大外部净失衡导致了一场关于对这种失衡的外部调整的重大辩论。尽管如此，在跨期框架内开发了第一批国际资本流动模型25年后，我们对资本流动的理解仍然非常有限。大多数模型假设只有一种无风险债券交易。这样的框架不能用来分析总资本流动。此外，由于没有投资组合选择，预期资产收益率或资产的风险特征的变化不起作用。这个项目的目标是开发和应用一种方法来求解具有投资组合选择的动态随机一般均衡(DSGE)模型。其目的是更深入地了解资本流动背后的驱动力，以及随之而来的汇率、资产价格和商品价格调整。该方法扩展了标准的一阶解和二阶解方法，以适应投资组合的选择。例如，在没有投资组合选择的模型中，通常首先求解确定性稳态，然后围绕确定性稳态展开模型方程。但在确定性的环境中，投资组合选择并没有得到很好的定义。它依赖于二阶矩，如资产收益的方差和协方差，因此，即使是计算投资组合配置的零阶或稳定状态，也需要使用投资组合选择的最优条件的二阶分量。同样，投资组合选择的一阶时间变化取决于投资组合选择的最优条件的三阶分量，它捕捉资产收益的时变二阶矩以及资产预期收益差异的时间变化。这种方法的应用范围不仅仅是投资组合选择，它的影响也更广泛。例如，在带有预防性储蓄的模型中，稳态财富分配取决于跨期消费选择的最优条件的二阶分量，其中包含预防性储蓄。这种方法被应用于两国动态随机一般均衡模型，从最初只关注投资组合选择的简单框架，到引入消费、投资、政府和更丰富的资产市场结构的日益丰富的设置。该方法还可以用于将金融中普遍采用的、通常是静态的、嘈杂的理性均衡模型纳入动态开放经济体系。这些模型允许以国家内部和国家之间投资者之间的信息不对称的形式进一步丰富。这些模型对总资本流动和净资本流动以及资本流动背后的驱动力都有影响。例如，在什么情况下，资本流入和流出是同向或相反的？资本流动主要是由跨资产的投资组合重新分配推动的，还是由基于稳定状态投资组合的跨资产分配的储蓄驱动的？投资组合选择模型中这些问题的答案可以与工业化国家的资本流动数据联系起来，以便了解建模的哪些特征对于理解数据中的资本流动是最关键的。