According to Wikipedia, the frame story (also frame tale, frame narrative, etc.) ..."employs a narrative technique whereby an introductory main story is composed, at least in part, for the purpose of setting the stage for a fictive narrative or organizing a set of shorter stories, each of which is a story within a story. The frame story leads readers from the first story into the smaller one within it."
This is a trope that can be useful in making an appeal piece (for an Olympic bid, for instance). Each story conveys a moral or principle embedded within a specific narrative. One story tells all, each story supports the others. This approach has variety, simplicity, and memorability going for it.
The ultimate frame story may be Boccacio's "Decameron", re-mixed a bit by Chaucer in "Canterbury Tales", but there are many modern examples from cinema, such as "New York Stories" (1989), "Thirty-two Short Films about Glen Gould" and Robert Altman's "Short Cuts" (both in 1993). The recent film "Crash" while, like a frame piece has distinctive sub-story arcs and protagonists, so jumbles the orders of presentation and occurrence as to make it another thing altogether (see the article in Wikipedia on Fabula and Sujet for more).
Before we get too academic here, for the story-teller who wants to keep and audience attentive, the frame story lets us make a big one out of lots of little ones. (more to come)