| 000 | 02427nam a22003974a 4500 | ||
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| 001 | WPIEA1312004 | ||
| 003 | IMF | ||
| 005 | 20190405163344.0 | ||
| 006 | m o d | ||
| 007 | cr cn||||||||| | ||
| 008 | 020129s2004 dcu o i00 0 eng d | ||
| 020 |
_a1451855311 : _c15.00 USD |
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| 020 | _z9781451855319 | ||
| 022 | _a1018-5941 | ||
| 024 | 7 |
_a10.5089/9781451855319.001 _2doi |
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| 035 | _a(IMF)WPIEA1312004 | ||
| 040 |
_aDcWaIMF _beng |
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| 110 | 2 | _aInternational Monetary Fund. | |
| 245 | 1 | 0 |
_aWhen in Peril, Retrench _h[electronic resource] : _bTesting the Portfolio Channel of Contagion. |
| 260 |
_aWashington, D.C. : _bInternational Monetary Fund, _c2004. |
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| 300 | _a1 online resource (34 p.) | ||
| 490 | 1 |
_aIMF Working Papers; Working Paper ; _vNo. 04/131 |
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| 520 | 3 | _aOne 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. | |
| 588 | _aDescription based on print version record. | ||
| 650 | 7 |
_aContagion _2imf |
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| 650 | 7 |
_aInternational Finance: General _2imf |
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| 650 | 7 |
_aInternational Investors _2imf |
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| 650 | 7 |
_aInvestors _2imf |
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| 650 | 7 |
_aMutual Funds _2imf |
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| 650 | 7 |
_aPortfolio Choice _2imf |
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| 651 | 7 |
_aBrazil _2imf |
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| 651 | 7 |
_aThailand _2imf |
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| 776 | 0 | 8 |
_iPrint Version: _tWhen in Peril, Retrench : Testing the Portfolio Channel of Contagion _dWashington, D.C. : International Monetary Fund, 2004. _z9781451855319 |
| 830 | 0 |
_aIMF Working Papers; Working Paper ; _vNo. 04/131 |
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| 856 | 4 | 0 |
_uhttp://elibrary.imf.org/view/IMF001/07914-9781451855319/07914-9781451855319/07914-9781451855319.xml _zIMF e-Library |
| 856 | 4 | 0 |
_uhttp://www.imfbookstore.org/IMFORG/9781451855319 _zIMF Book Store |
| 999 |
_c151718 _d151718 |
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