Economics of Financial Markets

9308589扎梅：有大量的经验证据表明，个人消费与总消费之间的相关性很差。这样的数据很难与标准的Arrow-Debreu完全市场模型所描绘的图景相吻合。一种解释可能是，市场实际上是不完整的--而市场的不完备性似乎是一个观察性事实。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？如果市场是不完整的，那么哪些市场缺失，哪些市场存在？市场的不完备性应该是重要的吗？本文研究了四个主题来解决这些问题：1.市场不完备性重要吗？相互保险--通过简单的借贷--能取代全部或有合约吗？2.期货合约的创新。如果交易所在金融证券创新中表现出战略性行为，我们应该期待看到什么证券？在什么情况下，交易所将有适当的动机提供全套金融证券？3.抵押品的经济影响。许多贷款都需要抵押品，这一事实对经济有何影响？特别是，抵押品要求如何影响所提供的资产集合、资产和大宗商品的价格和价格波动性，以及均衡配置的效率？4.连续交易模型的非标准方法。资产交易频繁，但金融市场仍处于动态不完全状态的市场具有哪些特性？

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?