Trade Costs, Asset Market Frictions and International Macro Puzzles

大量证据表明，国际资产市场存在摩擦。每隔十年，一些国家就会出现债务违约，而且这些事件会周期性地联合收割机演变成全面的国际金融危机。过去10年的实证研究也表明，货物贸易成本很高，对解释双边贸易格局很重要。本课题的目的是从实证的角度分析商品和资产市场摩擦对解释国际宏观经济学中的一系列难题的作用。课题的第一步是建立一个多国模型，在这个模型中，各国之间的货物运输成本很高，而且各国之间可以签订的跨期合同的类型可能存在限制。在这个世界上，国家最好选择不使其消费在商品、世界状态和时间上完美平滑，即使他们可以签订的跨期合同没有限制。该项目的第二步利用该模型，以80个国家为样本，制定和实施一项新的国际消费风险分担测试。初步结果表明，昂贵的贸易和资产市场的摩擦都是解释完美消费保险在各国失败的必要因素。该项目的第三步是调查国家之间可以签订的跨期合同的显著限制的性质。如果没有一个权威机构来执行不同国家当事人之间的合同，可能会使可行的合同减少到那些自我执行的合同。国际金融交易中使用的许多工具并不以当事方事后所处的情况为付款条件。对契约的不同限制对跨国财富分配的演变有不同的影响。项目第一阶段开发的模型提供了一种估计国际财富分配的方法，从而检验这些影响。代理人持有强烈倾向于国内资产的投资组合的倾向被称为一个谜。鉴于对国际资产市场摩擦建模的最适当方式的分析结果，该项目的第四步将探讨国家投资组合与关于资产市场贸易成本和摩擦的性质和规模的证据相一致的程度。该项目的最后一步解决了贸易成本和资产市场摩擦对汇率脱节之谜的贡献。这个项目的结果有助于我们理解的数量的重要性，商品与金融市场的摩擦，阻碍国际市场一体化。考虑到数据所偏好的商品市场摩擦和资产市场结构，可以分析旨在改善这些摩擦的政策的福利收益。这有助于设计旨在进一步整合国际市场的政府政策，从而使这项研究产生更广泛的影响。

There is abundant evidence that there are frictions in international asset markets. Each decade, some countries default on their debts, and periodically these episodes combine into full-blown international financial crises. Empirical work over the past 10 years has also demonstrated that costs of trading goods are large and important for explaining the pattern of bilateral trade. The goal of this project is to disentangle empirically the contribution of goods and asset-market frictions in explaining a set of puzzles in international macroeconomics.The first step of the project develops a multi-country model where it is costly to ship goods across countries, and there may be limitations on the types of inter-temporal contracts that countries can write with each other. In this world, countries optimally choose not to smooth their consumption perfectly across goods, states of the world and over time, even if there are no restrictions on the inter-temporal contracts they can write. The second step of the project uses the model to develop and implement a new test for international consumption risk sharing using a sample of 80 countries. Preliminary results suggest that both costly trade and frictions in asset markets are necessary to explain the failure of perfect consumption insurance across countries. The third step of the project investigates the nature of the salient limitations on the inter-temporal contracts countries can write with each other. The absence of an authority that enforces contracts between parties from different countries may reduce the set of feasible contracts to those that are self-enforcing. Many of the instruments used in international financial transactions do not make payments contingent on the circumstances in which the parties find themselves ex post. Different limitations on contracts have different implications for the evolution of the cross-country distribution of wealth. The model developed in the first stage of the project provides a method for estimating the international wealth distribution, and hence testing these implications. The propensity of agents to hold portfolios that are strongly tilted towards domestic assets has been called a puzzle. Given the results from the analysis of the most appropriate way of modeling frictions in international asset markets, the fourth step of the project will explore the degree to which country portfolios are consistent with the evidence on the nature and size of trade costs and frictions in asset markets. The final step of the project addresses the contribution of trade costs and asset market frictions to the exchange-rate disconnect puzzle. The results of this project contribute to our understanding of the quantitative importance of goods versus financial market frictions in impeding international market integration. Given the goods market frictions and asset market structure preferred by the data, it is possible to analyze the welfare benefits of policies designed to ameliorate these frictions. This helps in the design of government policy that has the aim of further integrating markets internationally, thereby giving this research broader impacts.