منابع مشابه
Market Integration and Contagion
Contagion is usually defined as correlation between markets in excess of what would be implied by economic fundamentals; however, there is considerable disagreement regarding the definitions of the fundamentals, how the fundamentals might differ across countries, and the mechanisms that link the fundamentals to asset returns. Our research takes, as a starting point, a two-factor model with time...
متن کاملFinancial Crisis Contagion and the OPEC Oil Market
The impact of the financial crisis on the OPEC oil market is important to us as an important member of OPEC and an oil-exporting country with an oil-dependent economy. This study examines four networks, pre-financial crisis, US financial crisis, European debt crisis and post-financial crisis, using the contagion index and complex network for the period 2007-1-2 to 26-8-2019. The results show th...
متن کاملFinancially Constrained Arbitrage and Cross-Market Contagion
We propose a continuous time infinite horizon equilibrium model of financial markets in which arbitrageurs have multiple valuable investment opportunities but face financial constraints. The investment opportunities, heterogeneous along different dimensions, are provided by pairs of similar assets trading at different prices in segmented markets. By exploiting these opportunities, arbitrageurs ...
متن کاملMultiple Equilibria , Contagion and the Emerging Market
Miller for very useful discussions of the issues treated here, and to Enrica Detragiache, Ilan Goldfajn, and Caroline Van Rijckeghem for helpful comments. Freyan Panthaki provided research assistance. The views expressed are my own, however, and in particular do not represent those of the International Monetary Fund or its member countries.
متن کاملInternational Financial Integration and Crisis Contagion ∗
International financial integration helps to diversify risk but also may increase the transmission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral constraints. Collateral constraints bind occasionally, depending upon the state of the economy and levels of inherited debt. T...
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ژورنال
عنوان ژورنال: The Journal of Business
سال: 2005
ISSN: 0021-9398,1537-5374
DOI: 10.1086/426519