خودکفایی مالی و چرخه های کسب و کار بین المللی

We present a two-country, two-good model in which there do not exist any markets for international trade in financial assets. We compare the predictions of this model to those of two other models, one in which markets are complete and a second in which a single non-contingent bond is traded. We find that only the financial autarky model can generate volatility in the terms of trade similar to that in data for the floating rate period and, at the same time, account for observed cross-country output, consumption, investment and employment correlations. We interpret our findings as evidence that the extent of international borrowing and lending opportunities is important for the international business cycle.

International real business cycle models with complete markets (see, for example, Backus et al., 1995) have trouble accounting for at least three features of international data. Firstly, empirical cross-country consumption correlations are generally similar to cross-country output correlations, whereas existing models typically produce consumption correlations much higher than output correlations. Secondly, investment and employment tend to be positively correlated across countries, whereas the models predict a negative correlation. Thirdly, models generate far less volatility in the terms of trade and the real exchange rate than is seen in the data. These failures can be understood as follows. The existence of complete markets implies insurance of country-specific risk and the efficient use of resources. Risk sharing induces strong positive cross-country consumption correlations. Efficiency dictates that the optimal response to a productivity shock involves increasing investment and labor supply in the more productive country and reducing them in the less productive country. Thus the cross-country correlations of factor supplies and output in the models are lower than those observed empirically. The equilibrium real exchange rate in complete markets models is closely related to the ratio of consumptions across the two countries. Since consumption is highly correlated across countries in the models, this ratio displays low volatility, and the real exchange rate is consequently less volatile than in the data. This discussion suggests that introducing frictions in international asset markets might help to resolve some puzzles. Baxter and Crucini (1995), Kollman (1996) and Arvanitis and Mikkola (1996) study economies in which the only asset traded internationally is a non-contingent bond. They find that equilibrium allocations look different from those arising when markets are complete only if productivity shocks are very persistent and do not spill over across national borders. In this paper we consider an economy in which there do not exist any markets for international asset trade, or, equivalently, in which all international goods trade must be quid pro quo. We call this the financial autarky model, following Cole and Obstfeld (1991) who studied this market structure in an exchange economy. We extend Cole and Obstfeld's work by modeling production explicitly in the standard real business cycle tradition. The central part of the paper consists of a comparison of the usual business cycle statistics for the financial autarky economy with those emerging in economies with a single bond and with complete asset markets. This is done for a range of values for the elasticity of substitution between domestic and foreign traded goods, and for a range of specifications for the productivity shocks that are the source of uncertainty in our economies. We find that the financial autarky economy always behaves very differently to the complete markets one, while the equilibrium allocations in the bond economy generally closely approximate those when markets are complete. We also find that for a large portion of the parameter space the behavior of the financial autarky model is closest to the data along most dimensions. In order to understand our results it useful to note that asset markets have two potential functions in this class of economies.1 They allow households to borrow and lend internationally, and they allow them to pool country-specific risk. If productivity shocks are stationary, changes in permanent income following asymmetric shocks are small, implying little need for insurance assets. Provided there exists an asset which permits international borrowing and lending, households can achieve allocations similar to those when markets are complete. By contrast, the international borrowing and lending function of asset trade is important irrespective of the process for productivity. Thus allocations in the financial autarky model always differ significantly from those when markets are complete. In particular, when households cannot borrow abroad following an increase in domestic productivity, a larger rise in the terms of trade is required to clear markets. This in turn implies different patterns for investment and employment than under the alternative market structures. Our conclusion is that moving away from the complete markets paradigm can help us understand some previously puzzling features of international data. At the same time, exactly which markets are missing is important. We find that limiting international borrowing is a more successful approach than simply assuming imperfect markets for insurance against country-specific risk. The paper is organized as follows. In Section 2 we describe the model economies. In Section 3 we discuss how the models are parameterized and solved. In Section 4 the results are presented. Section 5 provides some intuition for the results, and Section 6 concludes.

We have examined the importance of opportunities for international borrowing and lending for a two-country two-good world in which both capital and labor are endogenous. Lewis (1996) has shown that capital market restrictions can help explain the apparent lack of international consumption risk sharing. In a richer framework we find that a total absence of international asset markets can help to explain the cross-country GDP, employment and investment correlations typically observed in data. Moreover the volatilities of trade-related statistics in the financial autarky model are much higher than in the complete markets model, and are of a similar order of magnitude to those for the US. Our results are sensitive to the choice for σ, the elasticity of substitution between the home and the foreign intermediate good, and to the extent to which productivity shocks spill over across national borders. However, we find that irrespective of the choice for these parameters, ruling out international asset trade narrows the gap between the model and the data. For example, even if σ is treated as a free parameter, the complete markets and single bond models are unable to simultaneously generate realistic cross country correlations, and at the same time produce sufficient volatility in both the terms of trade and trade volumes. The financial autarky model implies a reasonable fit with the data along these dimensions for a range of values for σ between 0.5 and 1. A general shortcoming of this class of models is that the production structure implies a linear relationship between the real exchange rate and the terms of trade. We show that the real exchange rate is necessarily less volatile than the terms of trade in the models whereas the reverse is true of the data. A criticism specific to the financial autarky model is that it does not generate any international borrowing and lending. Nevertheless we believe that the model provides a useful starting point for studying the macroeconomic effects of ongoing growth in international financial markets. In the first decade of our sample (1973–1983), the average absolute value for the ratio of the US trade balance to US GDP was 0.6%, while by the last decade (1988–1998), the corresponding value had risen to 1.1%. Across the same two periods, the correlations of US investment and employment with the same variables in the rest of the world fell from 0.68 and 0.70 to −0.12 and 0.01, respectively, while the output correlation fell from 0.78 to 0.26. In future work we plan to quantitatively investigate the extent to which these changes in the international business cycle are due to increased opportunities for international borrowing and lending. Our comparison of different asset market structures suggests that, holding constant the underlying shock structure, high cross-country correlations are to be expected if financial autarky is a reasonable approximation, while lower correlations should be observed if the complete markets or bond economy model is the more relevant benchmark. To conclude, this paper suggests that the extent of opportunities for international inter-temporal borrowing and lending is important and relevant for future research. Important in that if we eliminate all such opportunities the resulting equilibrium allocations and prices behave very differently than when markets are complete. Relevant because the financial autarky regime reproduces many aspects of the data better than other asset structures.