Securitized markets, international capital flows, and global welfare

• 成果类型: Article
• 署名作者: Phelan, Gregory; Toda, Alexis Akira
• 署名单位: Williams College; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.08.011
• 发表日期: 2019
• 页码: 571-592
• 关键词: Collateralized loan obligations; Endogenous risk sharing; Global imbalances; Gross international asset positions

摘要

We study the effect of collateralized lending and securitization on international capital flows and welfare in a two-country general equilibrium model with idiosyncratic investment risk. The low-margin country (Home) endogenously supplies more safe assets and enables more risk sharing. Upon financial integration, capital flows from Foreign (high margin country) to Home, leading to lower interest rates and a larger global supply of safe assets. Unlike in standard models with partial equity issuance, in our model, Home can lose from financial integration due to the endogenous reduction in risk sharing and aggregate shocks can generate large gross capital flows. (C) 2018 Elsevier B.V. All rights reserved.