Finance and Economics Discussion Series: A Rational Expectations Model of Financial Contagion - Couverture souple

Kodres, Laura E; Pritsker, Matthew

Couverture souple

ISBN 10 : 1288718993 ISBN 13 : 9781288718993

Editeur : Bibliogov, 2013

Synopsis

We develop a multiple rational expectations model of securities prices to explain the determinants of financial market contagion. Although the model allows contagion through several channels, our primary focus is on contagion through cross-market rebalancing. Through this channel, investors transmit idiosyncratic shocks from one market to others by adjusting their portfolios' exposures to macroeconomic risks which are shared across markets. The pattern and severity of financial contagion depends on markets' sensitivities to shared macroeconomic risk factors, and on the amount of information asymmetry in each market. The model can generate contagion in the absence of news, and between markets that do not directly share macroeconomic risks.

Détails de l'édition

• Éditeur: Bibliogov
• Date d'édition: 2013
• Langue: anglais
• ISBN 10: 1288718993
• ISBN 13: 9781288718993
• Reliure: Broché
• Nombre de pages: 46
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible