Inefficient Capital Markets and the Macroeconomy

有效市场假说对学术研究、金融监管和市场实践都产生了深远的影响。例如，(I)许多宏观经济模型纳入了有效市场假说的影响，如预期假说和未覆盖的利息平价；(Ii)监管者根据资产的市值评估许多类型金融机构的偿付能力；(Iii)大量资金被动地跟踪市场指数，而主动型经理人是根据这些指数进行评估的，往往受到偏离这些指数的限制。然而，大量的实证文献表明，资产价格大幅偏离了有效市场假说所隐含的基本面价值。错误定价及其影响可以在“套利限度”(LOA)范式下进行有益的研究，该范式假定代理人在进入金融市场方面的专业知识不同，而契约摩擦限制了专家可以管理的非专家的资本。拟议中的研究将加强LOA范式，并利用它来确定在低效市场中如何修改有效市场假说对资产管理、金融监管和宏观经济的影响。我们将通过基于内生合同摩擦推导专家面临的约束，将LOA范式建立在坚实的基础上。这还将使我们能够确定，私人最优合约是否能够使投资期限足够长，市场是否足够稳定。我们将探索三个应用领域。其一是对低效市场中的投资策略进行分类，并确定长线和短线投资者的最优策略有何不同。另一个是描述错误定价如何影响实际投资，以及套利者的短视是否会蔓延到公司经理的短视。第三种是将该模型嵌入到新凯恩斯主义的开放经济环境中，并研究债券和外汇市场的贷款如何影响冲击和政策行动的传导。

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.