| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7796 |
| 来源ID | Working Paper 7796 |
| On the Gains to International Trade in Risky Financial Assets | |
| Steven J. Davis; Jeremy Nalewaik; Paul Willen | |
| 发表日期 | 2000-07-01 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | This paper develops and implements a framework for quantifying the gains to international trade in risky financial assets. The framework can handle may agents, many assets, incomplete markets and limited participation in asset markets. It delivers closed-form analytic solutions for consumption, portfolio allocations, asset prices and the gains to trade. We find enormous gains to trade when asset returns are calibrated to observed risk premia and all agents participate in asset markets. The gains-to-trade puzzle is closely related to, but distinct from, the equity premium puzzle. High risk aversion merely alters the form of the gains-to-trade puzzle, but limited participation in asset markets goes a long way towards addressing both puzzles. We also identify three reasons for limited international risk sharing. First, the requirement that asset markets span the space of national output shocks fails in a serious way. Second, for many countries the cost of using financial assets to hedge national output shocks greatly exceeds the benefits. Third, limited asset market participation reduces the feasible gains from international risk sharing. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w7796 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565368 |
| 推荐引用方式 GB/T 7714 | Steven J. Davis,Jeremy Nalewaik,Paul Willen. On the Gains to International Trade in Risky Financial Assets. 2000. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7796.pdf（563KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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