Financial Markets and Wages

We study a labour market equilibrium model in which firms sign optimal long-term contracts with workers. Firms that are financially constrained offer an increasing wage profile: they pay lower wages today in exchange for higher future wages once they become unconstrained. Because constrained firms grow faster, the model predicts a positive correlation between the growth of wages and the growth of the firm. Under some conditions, the model also generates a positive relation between firm size and wages. Using matched employer–employee data from Finland and the National Longitudinal Survey of Youth for the U.S., we show that the key dynamic properties of the model are supported by the data.     

论国内金融市场在“外商直接投资和经济增长”中的传导渠道

21世纪以来有关外商直接投资(FDI)文献着重论述了国内金融市场在“FDI和经济增长”中的作用,弥补了以往FDI文献的空白。在此基础上,文章认为,国内金融市场是通过资本形成、就业增加、技术实现和投资效率提高等渠道诱使FDI促进经济增长的。     

外商直接投资与经济增长:对金融市场角色的分析

外商直接投资(FDI)可以促进东道国的经济增长,但这种促进作用的实现受到东道国金融市场的影响.金融市场会影响东道国对FDI的吸收能力,从而影响FDI对东道国经济增长的贡献.实证研究结果表明,金融市场是FDI发挥经济增长促进作用的重要影响因素;金融深化、金融市场资源配置效率的提高以及地方金融市场信贷规模的扩大,有助于增强FDI对经济增长的促进作用.     

Optimal Privatization Design and Financial Markets

This paper provides a simple general equilibrium analysis of privatization, exploring its real effects. They derive from the expansion of risk‐sharing opportunities (within an incomplete markets setting) that are created by the addition of a market in the public project property rights. The principal conclusion is that an optimal combination of voucher and share issue privatization can implement the first‐best.     

Information Acquisition in Financial Markets

Previous work on information and financial markets has focused on a special set of assumptions: agents have exponential utility, and random variables are normally distributed. These assumptions are often necessary to obtain closed-form solutions. We present an example with alternative assumptions, and demonstrate that some of the conclusions from previous literature fail to hold. In particular, we show that in our example, as more agents acquire information, prices do not necessarily become more informative, and agents may have greater incentive to acquire information. Learning can therefore be a strategic complement, allowing for the possibility of multiple equilibria.     

Regulating Exclusion from Financial Markets

We study optimal enforcement in credit markets in which the only threat facing a defaulting borrower is restricted access to financial markets. We solve for the optimal level of exclusion, and link it to observed institutional arrangements. Regulation in this environment must accomplish two objectives. First, it must prevent borrowers from defaulting on one bank and transferring their resources to another bank. Second, and less obviously, it must give banks the incentive to make sizeable loans, and to honour their promises of future credit. We establish that the optimal regulation resembles observed laws governing default on debt. Moreover, if debtors have the right to a "fresh start" after bankruptcy then this must be balanced by enforceable provisions against fraudulent conveyance. Our optimal regulation is robust, in that it can be implemented in a way that does not require the regulator to have information about either the borrower or lender. Our results isolate the way in which specific institutions surrounding bankruptcy–namely rules governing asset garnishment and fraudulent conveyances–support loan markets in which borrowers have no collateral.     

Ambiguity Aversion and Incompleteness of Financial Markets

It is widely thought that incomes risks can be shared by trading in financial assets. But financial assets typically carry some risk idiosyncratic to them, hence, disposing incomes risk using financial assets will involve buying into the inherent idiosyncratic risk. However, standard theory argues that diversification would reduce the inconvenience of idiosyncratic risk to arbitrarily low levels. This paper shows that this argument is not robust: ambiguity aversion can exacerbate the tension between the two kinds of risks to the point that classes of agents may not want to trade some financial assets. Thus, theoretically, the effect of ambiguity aversion on financial markets is to make the risk sharing opportunities offered by financial markets less complete than it would be otherwise.     

Bidding and Overconfidence in Experimental Financial Markets

Overconfidence is a well-documented phenomenon in psychology. Psychologists define an overconfident individual as one who believes he has more accurate information than he actually does. Recently, behavioral economists have become interested in the implications of trader overconfidence for financial decision-making and the functioning of financial markets. To date, most financial market studies have been analytical in nature. These studies assume that traders are overconfident and model decision-making behavior accordingly. Rather than assuming the presence of overconfidence, we use experimental bidding data to determine the extent to which trader overconfidence exists, and what variables suggested by previous finance and psychology research relate to it. We find approximately 40% of subjects exhibited overconfidence. Variables that distinguish overconfident bidding from risk-averse and risk-neutral bidding include the traditional financial variables that explain bidding (expected value and standard deviation), non-traditional financial variables, and variables relating to the self-attribution bias and feedback. Contrary to what some analysts have suggested, experience did not reduce overconfidence.     

金融市场的开放与金融风险的防范

金融全球化是经济全球化的必然结果。中国金融业开放必须坚持积极稳妥、循序渐进、对我有利的原则,抓住机遇迎接挑战。     

International Capital Markets and Non-Scale Growth

New growth models exhibit "scale effects," meaning that variations in the levels of key variables exert permanent influences on growth rates. Such predictions run counter to recent empirical evidence. This paper extends a general non-scale model to the open economy. With complete capital markets, only output and capital, but not consumption, retain their non-scale structure. Introducing capital market imperfections, the model is again fully non-scale. Debt subsidies are analyzed and shown to provide capital flow reversals consistent with the recent experience in East Asia.     

Government Size and Stochastic Growth

This paper analyses the effects of the size of government on economic growth in a stochastic endogenous growth model involving the supply‐side effect and demand‐side effect produced by government spending. We show that a rise in the government spending affects economic growth through three channels, including the crowding‐out effect, the spin‐off effect and the resource mobilisation effect. We demonstrate that there exists an optimal size of government that maximises the economic growth rate.     

Policy Shifts and Financial Instability in Emerging Markets

We explain periods of financial instability following drastic policy shifts within a Hayekian framework. Hayek emphasized that prices, established via the market process, help market participants to form coherent expectations about the future and coordinate plans with one another. In this paper, we elaborate on how policy shifts may undermine planning based on price signals and exacerbate uncertainty about the future, which can contribute to financial instability. Based on our postulated framework, we clarify how financial liberalization in the 1980s/1990s and the recent discretionary monetary policies in the advanced economies may have contributed to recurring episodes of financial instability in emerging markets. In particular, this paper provides an explanation for (1) why we observe financial instability mainly shortly following financial liberalization, and (2) why financial developments in the emerging markets are sensitive to unexpected monetary policy changes in the advanced countries in the current zero‐interest rate environment.     

Banks,Financial Markets and International Consumption Risk Sharing

In this article, we explore how characteristics of the domestic financial system influence the international allocation of consumption risk in a sample of OECD countries. Our results show that the extent of risk sharing achieved does not depend on the overall development of the domestic financial system per se. Rather, it depends on how the financial system is organized. Countries characterized by developed financial markets are less exposed to idiosyncratic risk, whereas the development of the banking sector contributes little to the international diversification of consumption risk.     

Mainstream Methodology, Financial Markets and Global Political Economy

The experience of financial markets in the global economy isopen to a variety of interpretations, based on different framings,with important consequences for economic policy. Knowledge aboutfinancial markets, and the methodology employed to build it,can be understood in terms of framing. The underlying argumentof the paper is in favour of considering the framing of financialmarkets within an open-system approach, allowing input fromother disciplines, as well as taking account of the real, oftenperformative, implications of (closed-system) mainstream framingby policy-makers. The methodological underpinnings of, and interdependenciesbetween, different framings among theorists, policy-makers,market players and users is explored.     

Stochastic Growth and Factor Income Risk

Abstract. This paper examines the effects of aggregate factor income risk in a tractable version of the stochastic Romer endogenous growth model. Labor supply is endogenous. The presence of labor income risk unambiguously increases savings and growth due to precautionary motives. Households not only underaccumulate but also work less along the balanced growth path of the competitive economy when compared with the Pareto-efficient allocation. The paper also discusses distributive disturbances for the case of inelastic labor supply. Here, growth effects are negative for empirically plausible correlations of the underlying shocks.     

金融市场中的披露管制:现代金融理论与信号传递理论的意义

金融市场信息披露的规制是各国政府监管部门非常关注的问题,也是新兴市场国家和转轨经济国家市场制度建设的中心问题之一。本文运用现代金融理论与信息传递理论分析了金融市场中的披露管制问题。文章一部分讨论了古典经济学对信息披露的研究,提出了建立信息竞争市场的诸多难题。第二部分通过激励-信号传递的分析,认为经济力量能够驱动和实现内部信息的发布。第三部分考察了在传统的和新的观点下披露立法的意义。最后部分概述了有关这些立法的政策性和措施性建议。