The role of portfolio constraints in the international propagation of shocks

• 成果类型: Article
• 署名作者: Pavlova, Anna; Rigobon, Roberto
• 署名单位: University of London; London Business School; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/j.1467-937X.2008.00509.x
• 发表日期: 2008
• 页码: 1215-1256
• 关键词: equilibrium asset prices; dynamic equilibrium; contagion; MARKET; MODEL; consumption; crises; TRADE; interdependence; linkages

摘要

We study the comovement among stock prices and exchange rates in a three-good, three-country, Centre-Periphery, dynamic equilibrium model in which the Centre's agents face portfolio constraints. We characterize equilibrium in closed form for a broad class of portfolio constraints, solving for stock prices, terms of trade, and portfolio holdings. We show that portfolio constraints generate wealth transfers between the Periphery countries and the Centre, which increase the comovement of the stock prices across the Periphery. We associate this excess comovement caused by portfolio constraints with the phenomenon known as contagion. The model generates predictions consistent with other important empirical results such as amplification and flight-to-quality effects.