Stabsseminar ved Egil Matsen

Stipendiat Egil Matsen fra Institutt for økonomi ved NTNU holder stabsseminar på Institutt for foretaksøkonomi i morgen, torsdag.

03.05.2000 - Elin F. Styve

Tema er International Diversification, Growth, and Welfare with Non-Traded Income Risk and Incomplete Markets

Tid og sted:
Torsdag 4. mai kl. 1215 - 1330 i Karl Borchs Auditorium

Abstract
We ask how the potential benefits from cross-border asset trade are affected by the pres-ence of non-traded income risk in incomplete
markets. We show that the mean consumption growth may be lower with full integration than in financial autarky. This can occur because: the hedging demand for risky high-return projects may fall as the investment opportunity set increases, and precautionary savings may fall as the unhedgeable non-traded income variance decreases upon financial integration. We also show that international asset trade increases welfare if it increases the risk-adjusted growth rate. This is always the case in our model, but the effect may be close to negligible. The welfare gain is smaller the higher the correlation between the domestic non-traded income process and foreign asset returns.

Paper kan hentes hos Turid Gabrielsen på rom C512, tlf. 9284.