When in peril, retrench: Testing the portfolio channel of contagion

• 成果类型: Article; Proceedings Paper
• 署名作者: Broner, Fernando A.; Gelos, R. Gaston; Reinhart, Carmen M.
• 署名单位: Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); International Monetary Fund; University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.05.004
• 发表日期: 2006
• 页码: 203-230
• 关键词: contagion; International investors; risk aversion; Emerging markets; portfolio choice; financial crises

摘要

The impact of past gains and losses on international investors' risk aversion is an important factor in the propagation of financial shocks across countries. We first present a stylized model illustrating how changes in investors' risk aversion affect portfolio decisions and stock prices. We then examine empirically the behavior of international mutual funds. When funds' returns are below average, they reduce their exposure to countries in which they were overweight and vice versa. An index of financial interdependence that reflects the extent to which countries share overexposed funds helps explain the pattern of stock market comovement across countries and the pattern of contagion during crises. (c) 2005 Elsevier B.V. All rights reserved.