| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27953 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w27953 |
| 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/585627 |
| 推荐引用方式 GB/T 7714 | Benjamin M. Hébert. Externalities as Arbitrage. 2020. |
| 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 | ||
| w27953.pdf（809KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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