主讲人：聂军 (Federal Reserve Bank of Kansas City)
Topic: The Negative Growth-Volatility Relationship and the Gains from Financial Integration
We document a negative relationship between average growth and volatility in a cross-section of countries. We then provide an interpretation of this result using a robustness (RB) version of the Add to dictionary (1994) model of financial diversification and openness. Incorporating a preference for robustness can generate the observed negative relationship between growth and volatility of real GDP. Furthermore, we show that RB reduces the expected growth rate in a diversified equilibrium (positive holdings of risk-free capital), while it could increase growth in an undiversified equilibrium. Using this framework, we calculate the growth and welfare gains associated with financial market openness, and show that international integration has a smaller effect on welfare gain under RB if the economy is in a diversified equilibrium.
Jun Nie is a Senior Economist in the Economic Research Department of the Federal Reserve Bank of Kansas City. Dr. Nie received his M.A. and Ph.D. from New York University. His current research interests include labor market policies, optimal decisions under model uncertainty and rational inattention, macro forecasting, monetary policy, and the Chinese economy.