| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10941 |
| 来源ID | Working Paper 10941 |
| When in Peril, Retrench: Testing the Portfolio Channel of Contagion | |
| Fernando A. Broner; R. Gaston Gelos; Carmen Reinhart | |
| 发表日期 | 2004-12-06 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | One plausible mechanism through which financial market shocks may propagate across countries is through the effect of past gains and losses on investors' risk aversion. The paper first presents a simple model examining how heterogeneous changes in investors' risk aversion affects portfolio decisions and stock prices. Second, the paper shows empirically that, when funds' returns are below average, they adjust their holdings toward the average (or benchmark) portfolio. In other words, they tend to sell the assets of countries in which they were "overweight", increasing their exposure to countries in which they were "underweight." Based on this insight, the paper discusses a matrix of financial interdependence reflecting the extent to which countries share overexposed funds. Comparing this measure to indices of trade or bank linkages indicates that our index can improve predictions about which countries are likely to be affected by contagion from crisis centers. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w10941 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568576 |
| 推荐引用方式 GB/T 7714 | Fernando A. Broner,R. Gaston Gelos,Carmen Reinhart. When in Peril, Retrench: Testing the Portfolio Channel of Contagion. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10941.pdf（244KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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