Limit search to available items
Book Cover
E-book
Author Broner, Fernando, author.

Title When in peril, retrench : testing the portfolio channel of contagion / Fernando Broner, R. Gaston Gelos, and Carmen Reinhart
Published [Washington, D.C.] : International Monetary Fund, ©2004

Copies

Description 1 online resource (34 pages)
Series IMF working paper ; no. WP/04/131
IMF working paper ; WP/04/131.
Contents ""Contents""; ""I. INTRODUCTION""; ""II. MODEL""; ""A. Demand""; ""B. Inelastic Supply""; ""C. Elastic Supply""; ""D. Model Predictions""; ""III. DATA""; ""IV. PORTFOLIO DISPERSION OVER TIME""; ""V. FUND PERFORMANCE AND PORTFOLIO CHOICE""; ""VI. A MEASURE OF FINANCIAL INTERDEPENDENCE""; ""VII. FINANCIAL INTERDEPENDENCE AND CONTAGION""; ""VIII. CONCLUSIONS""; ""FUND PERFORMANCE AND REDEMPTIONS""; ""PORTFOLIO ADJUSTMENT REGRESSIONS WITH CONTROL VARIABLES""; ""EQUIVALENCE OF INDICES OF INTERDEPENDENCE""; ""REFERENCES""
Summary 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. We first present a simple model on how heterogeneous changes in investors' risk aversion affect portfolio decisions and stock prices. Second, we empirically show 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, we construct a matrix of financial interdependence reflecting the extent to which countries share overexposed funds. This index can improve predictions about which countries are likely to be affected by contagion from crisis centers
Bibliography Includes bibliographical references
Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL
Print version record
Subject Financial crises -- Econometric models
Risk -- Econometric models
Mutual funds -- Econometric models
Financial crises -- Econometric models
Mutual funds -- Econometric models
Risk -- Econometric models
Form Electronic book
Author Gelos, Gaston, author.
Reinhart, Carmen M., author.
International Monetary Fund. Western Hemisphere Department, issuing body.
ISBN 1282050931
9781282050938
9781451855319
1451855311
9781451900583
1451900589