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来源类型Working Paper
规范类型报告
DOI10.3386/w27953
来源IDWorking Paper 27953
Externalities as Arbitrage
Benjamin M. Hébert
发表日期2020-10-19
出版年2020
语种英语
摘要How can we assess whether macro-prudential regulations are having their intended effects? If these regulations are optimal, their marginal benefit of addressing externalities should equal their marginal cost of distorting risk-sharing. These risk-sharing distortions will manifest as trading opportunities that intermediaries are unable to exploit. Focusing in particular on arbitrage opportunities, I construct an “externality-mimicking portfolio” whose returns track the externalities that would rationalize existing regulations as optimal. I conduct a revealed-preference exercise using this portfolio and test whether the recovered externalities are sensible. I find that the signs of existing CIP violations are inconsistent with optimal policy.
主题Macroeconomics ; Fiscal Policy ; International Economics ; International Finance ; Financial Economics ; Financial Institutions
URLhttps://www.nber.org/papers/w27953
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/585627
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GB/T 7714
Benjamin M. Hébert. Externalities as Arbitrage. 2020.
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