图 书 馆
螺旋式走向完全市场和金融动荡Spiraling Toward Complete Markets and Financial Instability |
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| 课程网址: | http://videolectures.net/ccss09_marsili_stcmafi/ |
| 主讲教师: | Matteo Marsili |
| 开课单位: | 国际理论物理中心 |
| 开课时间: | 2009-07-10 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | The proliferation of financial instruments provides more opportunities to hedge risks, reducing transaction costs and making markets more complete. These predictions sharply contrasts with recent experience, where asymmetric information and imperfect competition have played a major role in turning expanding credit derivative markets into ”financial weapons of mass destruction”. Here I argue that the escalation of market imperfections originates from the changes which take place in the nature of the market equilibria, when the repertoire of financial instruments expands. This is done in the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. I show that, even in the ideal case of perfect competition, where full information is available to all market participants, as markets approach completeness and transaction costs vanish, the equilibrium develops a marked vulnerability (or susceptibility) to market imperfections. Therefore, the onset of instability does not require large shocks, but it rather arises from the intrinsic nature of the equilibrium. One particularly devastating effect is that, replicating portfolios used by banks to hedge new instruments, require trading volumes, within the financial sector, which diverge as the market approaches completeness. Such interbank market itself develops a divergent susceptibility, as the theoretical limit of complete markets is approached. A similar approach shows that the expansion of derivative markets generates instability and large movements in underlying markets. These results suggest that the proliferation of financial instruments exacerbates the effects of market imperfections. In order to prevent an escalation of perverse effects, markets may necessitate institutional structures which are more and more conspicuous as they expand. |
| 关 键 词: | 金融工具; 对冲风险; 大规模杀伤性金融武器; 信贷产物衍生品; 金融市场; 脆弱性 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2019-10-22：cwx |
| 阅读次数: | 44 |