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2017-05-23 15:02  点击:[]

1、Title: Bank Competition and Securities Market Activity

Authors: Yanqin Chang and R. Todd Smith    

Abstract: Securities markets may be underdeveloped for various reasons. Lack of competition in the banking industry has been suggested as one such factor. This paper isolates the influence of market power in bank loan and deposit markets on the equilibrium split of financing between banks and direct debt finance. It is shown that, so long as bank equity capital is not too low, when banks have market power they will strategically price loans and deposits so as to increase the relative cost of direct finance, and thus discourage both savers and borrowers from using direct financing. Bank riskiness may increase from this behavior.  

2、 Title: Portfolio Home Bias with Recursive Preferences and Long Run Risk

Authors: Yanqin Chang and R. Todd Smith    

Abstract: We study the cause of equity home-bias in a two-country open-economy model featuring recursive preferences and long-run productivity growth risk. With these two properties, the intertemporal marginal rate of substitutions (IMRS) is mainly determined by persistent shocks to productivity growth. Therefore, when these shocks are calibrated to be highly correlated between the home and foreign country, our model is able to generate the high cross-country IMRS correlations, which are typically associated with high international risk sharing. Consequently, the gains left to be exploited from international portfolio diversification could be markedly small. It is in this context we conjecture that a very minor trading cost imposed on cross-border equity transactions would lead to a substantial amount of equity home-bias. The calibration results confirm this prediction. This may seem hardly surprising since even benchmark models are able to generate home-bias if financial frictions are introduced. What is different about our model is that a given amount of home-bias requires significantly smaller trading costs than would be required in benchmark models.  

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