An Intertemporal Model of International Capital Market Segmentation
构建了一个跨期模型，分析国际资本市场在不同分割/整合形式下的均衡资产价格、无风险利率、消费行为及两国福利，发现整合可能显著降低一国福利，并指出传统均值-方差模型的结论在跨期模型中不成立。
This paper develops an intertemporal model of international capital market segmentation. Within the model, under various forms of segmentation/integration, the equilibrium asset prices and allocations, the risk-free interest rate, and the intertemporal consumption behavior and welfares of two countries are derived and compared. It is shown that the equilibrium interest rate is increased on integration, and that integrating markets may be significantly welfare decreasing for one of the countries. Conditions that may lead to a decrease in welfare are investigated. The conclusions as to the effects of segmentation on asset prices in the mean-variance model of the existing finance segmentation literature are also shown to break down in an intertemporal model.