| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5185 |
| DP5185 Informed Lending and Security Design | |
| Roman Inderst; Holger Mueller | |
| 发表日期 | 2005-08-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper examines the co-movement among stock market prices and exchange rates within a three-country Centre-Periphery dynamic equilibrium model in which agents in the Centre country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through the common discount factor for cash flows, and, finally, through an additional channel reflecting the tightness of the portfolio constraints. Portfolio constraints are shown to generate endogenous wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among the terms of trade of the Periphery countries, as well as their stock market prices. Under a portfolio constraint limiting investment of the Centre country in the stock markets of the Periphery, stock prices also exhibit a flight to quality: a negative shock to one of the Periphery countries depresses stock prices throughout the Periphery, while boosting the stock market in the Centre. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | International finance Asset pricing Terms of trade Portfolio constraints Contagion |
| URL | https://cepr.org/publications/dp5185 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534069 |
| 推荐引用方式 GB/T 7714 | Roman Inderst,Holger Mueller. DP5185 Informed Lending and Security Design. 2005. |
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