Inefficient Capital Markets and the Macroeconomy

低效的资本市场和宏观经济

• 批准号: EP/X024946/1
• 负责人: Dimitri Vayanos
• 金额: $ 238.5万
• 依托单位: London School of Economics and Political Science
• 依托单位国家: 英国
• 项目类别: Research Grant
• 财政年份: 2022
• 资助国家: 英国
• 起止时间: 2022 至 无数据
• 项目状态: 未结题
• 来源: https://gtr.ukri.org/projects?ref=EP%2FX024946%2F1
• 关键词: Inefficient; Capital; Markets; Macroeconomy

The Efficient Market Hypothesis (EMH) has impacted profoundly academic research, financial regulation and market practice. For example, (i) many macroeconomic models incorporate implications of EMH such as the Expectations Hypothesis and the Uncovered Interest Parity, (ii) regulators evaluate the solvency of many types of financial institutions based on the market value of their assets, and (iii) large pools of money track passively market indices, while active managers are evaluated based on such indices and are often constrained in their deviations from them. A large empirical literature documents, however, that asset prices deviate substantially from their EMH-implied fundamental values. Mispricing and its implications can be usefully studied within the "Limits of Arbitrage" (LoA) paradigm, which posits that agents differ in their expertise to access financial markets, and contracting frictions limit the capital of non-experts that experts can manage. The proposed research will strengthen the LoA paradigm and use it to determine how implications for EMH for asset management, financial regulation and macroeconomics should be modified in inefficient markets. We will put the LoA paradigm on firm foundations by deriving the constraints faced by experts based on endogenous contracting frictions. This will also allow us to determine whether privately optimal contracts render investment horizons sufficiently long and markets sufficiently stable. We will explore three areas of application. One is to derive a taxonomy of investment strategies in inefficient markets and determine how optimal strategies differ across long- and short-horizon investors. Another is to characterize how mispricing affects real investment, and whether short horizons by arbitrageurs spill over to those of corporate managers. A third is to embed the model into a New Keynesian open-economy setting and examine how LoA in bond and currency markets affect the transmission of shocks and policy actions.

有效市场假说（EMH）对学术研究、金融监管和市场实践产生了深远的影响。例如，（i）许多宏观经济模型包含了有效市场假说的含义，如预期假说和未覆盖利率平价，（ii）监管机构根据其资产的市场价值评估许多类型的金融机构的偿付能力，（iii）大量资金被动地跟踪市场指数，而主动管理者则根据这些指数进行评估，并且经常受到偏离这些指数的限制。然而，大量的实证文献表明，资产价格严重偏离了有效市场假说所隐含的基本价值。错误定价及其影响可以在“套利限制”（LoA）范式内进行有效研究，该范式假定代理人在进入金融市场的专业知识方面存在差异，合同摩擦限制了专家可以管理的非专家资本。拟议中的研究将加强LoA范式，并使用它来确定如何影响有效市场假说的资产管理，金融监管和宏观经济学应修改在无效市场。我们将把LoA范式坚实的基础上，通过推导出的约束所面临的专家基于内生的合同摩擦。这也将使我们能够确定私人最优合约是否使投资期限足够长，市场是否足够稳定。我们将探索三个应用领域。一个是在非效率市场中得出投资策略的分类，并确定长期和短期投资者的最佳策略有何不同。另一个是描述错误定价如何影响真实的投资，以及仲裁人的短期行为是否会波及到公司经理人。第三个是将模型嵌入新凯恩斯主义开放经济环境，并研究债券和货币市场的LoA如何影响冲击和政策行动的传导。