In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis

X. Gabaix, R. Koijen
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引用次数: 119

Abstract

We develop a framework to theoretically and empirically analyze the fluctuations of the aggregate stock market. Households allocate capital to institutions, which are fairly constrained, for example operating with a mandate to maintain a fixed equity share or with moderate scope for variation in response to changing market conditions. As a result, the price elasticity of demand of the aggregate stock market is small, and flows in and out of the stock market have large impacts on prices.Using the recent method of granular instrumental variables, we find that investing $1 in the stock market increases the market's aggregate value by about $5. We also develop a new measure of capital flows into the market, consistent with our theory. We relate it to prices, macroeconomic variables, and survey expectations of returns.We analyze how key parts of macro-finance change if markets are inelastic. We show how general equilibrium models and pricing kernels can be generalized to incorporate flows, which makes them amenable to use in more realistic macroeconomic models and to policy analysis.Our framework allows us to give a dynamic economic structure to old and recent datasets comprising holdings and flows in various segments of the market. The mystery of apparently random movements of the stock market, hard to link to fundamentals, is replaced by the more manageable problem of understanding the determinants of flows in inelastic markets. We delineate a research agenda that can explore a number of questions raised by this analysis, and might lead to a more concrete understanding of the origins of financial fluctuations across markets. Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.
寻找金融波动的起源:非弹性市场假说
我们开发了一个理论和实证分析总股票市场波动的框架。家庭将资金分配给机构,而这些机构受到相当的限制,例如,它们的经营任务是保持固定的股权份额,或者根据不断变化的市场条件有适度的变动余地。因此,总股票市场的需求价格弹性较小,股票市场的资金流入和流出对价格的影响较大。使用最近的颗粒工具变量方法,我们发现在股票市场投资1美元会使市场总价值增加约5美元。我们还开发了一种新的衡量资本流入市场的方法,与我们的理论相一致。我们将其与价格、宏观经济变量和调查回报预期联系起来。我们分析了如果市场缺乏弹性,宏观金融的关键部分是如何变化的。我们展示了一般均衡模型和定价内核如何被推广到包含流量,这使得它们可以在更现实的宏观经济模型和政策分析中使用。我们的框架允许我们给出一个动态的经济结构,以旧的和最新的数据集,包括在市场的各个部分的持有量和流量。股市看似随机、难以与基本面联系起来的走势之谜,被一个更容易解决的问题所取代,即理解非弹性市场中资金流动的决定因素。我们描绘了一个研究议程,可以探索这一分析提出的一些问题,并可能导致对市场金融波动的起源有更具体的理解。国家经济研究局工作论文系列的机构订阅者和发展中国家的居民可以在www.nber.org免费下载本文。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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