When in Peril, Retrench : Testing the Portfolio Channel of Contagion.
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 s...
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| Formato: | Revista |
| Lenguaje: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2004.
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| Colección: | IMF Working Papers; Working Paper ;
No. 2004/131 |
| Acceso en línea: | Full text available on IMF |