International capital markets and redundant securities

Issouf Soumare

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International capital markets and redundant securities

机译：国际资本市场和冗余证券

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In this paper we propose a general equilibrium model of a two-country, two-good complete dynamic financial market. We fully characterize the equilibrium, and show that under time-additively separable preferences there exist redundant securities in international capital markets. For example, using the foreign bond and domestic securities, investors are able to replicate foreign equity. However, unlike Zapatero (1995. Equilibrium Asset prices and exchange rates. Journal of Economic Dynamics and Control 19, 787-811) and Pavlova and Rigobon (2003. Asset prices and exchange rate. NBER Working Paper # 9834), the perfect correlation between equity markets obtained under the restrictive assumption of logarithmic preferences does not hold under more general specifications of utility, even though the pricing kernels in the two countries are perfectly linked through the exchange rate.

机译：在本文中，我们提出了一个由两个国家，两个商品组成的完全动态金融市场的一般均衡模型。我们充分描述了均衡的特征，并表明在时间可分开的偏好下，国际资本市场上存在多余的证券。例如，利用外国债券和国内证券，投资者能够复制外国股权。但是，与Zapatero（1995.均衡资产价格和汇率。经济动态与控制杂志19，787-811）和Pavlova和Rigobon（2003.资产价格和汇率。NBER工作文件＃9834）不同，两者之间的完美相关性在对数偏好的限制性假设下获得的股票市场在更通用的效用规范下并不成立，即使两国的定价核心通过汇率完美地联系在一起。

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来源
《Journal of Economic Dynamics and Control》 |2007年第3期|p.1037-1050|共14页
作者
Issouf Soumare;
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作者单位

Faculty of Business Administration, Laval University, Quebec, QC, Canada G1K 7P4;

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原文格式 PDF
正文语种 eng
中图分类 f;
关键词
exchange rate; general equilibrium; interest rate parity; international asset pricing; redundant security; replication;

机译：汇率;一般均衡;利率平价;国际资产定价;冗余证券;复制;

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International capital markets and redundant securities

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