The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis

• 成果类型: Article
• 署名作者: Buss, Adrian; Dumas, Bernard; Uppal, Raman; Vilkov, Grigory
• 署名单位: INSEAD Business School; University of Turin; Universite Catholique de Lille; EDHEC Business School; Frankfurt School Finance & Management; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.03.008
• 发表日期: 2016
• 页码: 25-43
• 关键词: Tobin tax; borrowing constraints; Short-sale constraints; stock market volatility; Differences of opinion

摘要

In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk premium, and reduces welfare. Regulatory measures, such as constraints on stock positions, borrowing constraints, and the Tobin tax have similar effects on financial and macroeconomic variables. However, borrowing constraints and the Tobin tax are more successful than constraints on stock positions at improving welfare because they substantially reduce speculative trading without impairing excessively risk-sharing trades. (C) 2016 Elsevier B.V. All rights reserved.