The Resource When in peril, retrench : testing the portfolio channel of contagion, Fernando Broner, R. Gaston Gelos, and Carmen Reinhart

When in peril, retrench : testing the portfolio channel of contagion, Fernando Broner, R. Gaston Gelos, and Carmen Reinhart

Label
When in peril, retrench : testing the portfolio channel of contagion
Title
When in peril, retrench
Title remainder
testing the portfolio channel of contagion
Statement of responsibility
Fernando Broner, R. Gaston Gelos, and Carmen Reinhart
Creator
Contributor
Author
Issuing body
Subject
Language
eng
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
Member of
Action
digitized
Cataloging source
OCLCE
Dewey number
332.042
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 no.04/131
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
IMF working paper
Series volume
no. WP/04/131
Label
When in peril, retrench : testing the portfolio channel of contagion, Fernando Broner, R. Gaston Gelos, and Carmen Reinhart
Publication
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
ocn648445113
Dimensions
unknown
Extent
1 online resource (34 pages)
File format
one file format
Form of item
online
Isbn
9781282050938
Media category
computer
Media MARC source
rdamedia
Media type code
c
http://library.link/vocab/recordID
.b37164569
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
  • (OCoLC)648445113
  • imf1282050931
System details
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.

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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