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The Role of Portfolio Constraints in the International Propagation of Shocks

Citations

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Cited by:

  1. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
  2. Fernando A. Broner & Guido Lorenzoni & Sergio L. Schmukler, 2013. "Why Do Emerging Economies Borrow Short Term?," Journal of the European Economic Association, European Economic Association, vol. 11, pages 67-100, January.
  3. Coeurdacier, Nicolas & Guibaud, Stéphane, 2011. "International portfolio diversification is better than you think," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 289-308, March.
  4. Michael B. Devereux & James Yetman, 2010. "Leverage Constraints and the International Transmission of Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 71-105, September.
  5. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
  6. Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
  7. Sebastian Edwards & Francis A. Longstaff & Alvaro Garcia Marin, 2015. "The U.S. Debt Restructuring of 1933: Consequences and Lessons," NBER Working Papers 21694, National Bureau of Economic Research, Inc.
  8. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
  9. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, vol. 51(1), pages 63-115, March.
  10. Denis Gromb & Dimitri Vayanos, 2018. "The Dynamics of Financially Constrained Arbitrage," Journal of Finance, American Finance Association, vol. 73(4), pages 1713-1750, August.
  11. Awartani, Basel & Aktham, Maghyereh & Cherif, Guermat, 2016. "The connectedness between crude oil and financial markets: Evidence from implied volatility indices," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 56-69.
  12. Bacchetta, Philippe & van Wincoop, Eric, 2013. "Sudden spikes in global risk," Journal of International Economics, Elsevier, vol. 89(2), pages 511-521.
  13. Huang, Chai Liang, 2020. "International stock market co-movements following US financial globalization," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 788-814.
  14. Agudelo, Diego A. & Múnera, Daimer J., 2023. "Who are the vectors of contagion? Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
  15. Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
  16. Shin, Hyun Song & Acharya, Viral & Yorulmazer, Tanju, 2009. "A Theory of Slow-Moving Capital and Contagion," CEPR Discussion Papers 7147, C.E.P.R. Discussion Papers.
  17. Zhigu He & Arvind Krishnamurthy, 2012. "A Model of Capital and Crises," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(2), pages 735-777.
  18. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2011. "Can oil prices forecast exchange rates?," Working Papers 11-34, Federal Reserve Bank of Philadelphia.
  19. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2013. "How do sovereign credit rating changes affect private investment?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4820-4833.
  20. Arogundade, Sodiq & Biyase, Mduduzi & Eita, Joel Hinaunye, 2022. "Do Sovereign Credit Ratings Matter for Foreign Direct Investment: Evidence from Sub-Sahara African Countries," MPRA Paper 115404, University Library of Munich, Germany.
  21. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
  22. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Working Papers hal-03602487, HAL.
  23. Damien PUY, 2013. "Institutional Investors Flows and the Geography of Contagion," Economics Working Papers ECO2013/06, European University Institute.
  24. Alexander Guembel & Oren Sussman, 2020. "The Pecking Order of Segmentation and Liquidity-Injection Policies in a Model of Contagious Crises," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(3), pages 1296-1330.
  25. Peter Bank & Ibrahim Ekren & Johannes Muhle‐Karbe, 2021. "Liquidity in competitive dealer markets," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 827-856, July.
  26. Buffa, Andrea M. & Hodor, Idan, 2023. "Institutional investors, heterogeneous benchmarks and the comovement of asset prices," Journal of Financial Economics, Elsevier, vol. 147(2), pages 352-381.
  27. Panageas, Stavros, 2010. "Bailouts, the incentive to manage risk, and financial crises," Journal of Financial Economics, Elsevier, vol. 95(3), pages 296-311, March.
  28. Tommaso Trani, 2011. "Trade in secured debt, adjustment in haircuts and international portfolios," IHEID Working Papers 13-2011, Economics Section, The Graduate Institute of International Studies.
  29. Toni Ahnert & Christoph Bertsch, 2022. "A Wake-Up Call Theory of Contagion [Asymmetric business cycles: theory and time-series evidence]," Review of Finance, European Finance Association, vol. 26(4), pages 829-854.
  30. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
  31. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  32. Danielsson, Jon & Song Shin, Hyun & Zigrand, Jean-Pierre, 2011. "Balance sheet capacity and endogenous risk," LSE Research Online Documents on Economics 43141, London School of Economics and Political Science, LSE Library.
  33. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
  34. Sara Eugeni, 2019. "Exchange rate volatility and cooperation in an incomplete markets' economy," Department of Economics Working Papers 2019_02, Durham University, Department of Economics.
  35. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
  36. Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
  37. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2016. "The relation between sovereign credit rating revisions and economic growth," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 90-100.
  38. Trani, Tommaso, 2015. "Asset pledgeability and international transmission of financial shocks," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 49-77.
  39. Sumudu W. Watugala, 2015. "Economic Uncertainty and Commodity Futures Volatility," Working Papers 15-14, Office of Financial Research, US Department of the Treasury.
  40. Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2015. "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," American Economic Review, American Economic Association, vol. 105(7), pages 1979-2010, July.
  41. López-Suárez, Carlos Felipe & Razo-Garcia, Raul, 2017. "Speculative attacks in a two-peg model," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 234-256.
  42. Chabakauri, Georgy & Han, Brandon Yueyang, 2020. "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, vol. 138(3), pages 754-776.
  43. Makoto Nirei & Vladyslav Sushko & Julián Caballero, 2016. "Bank Capital Shock Propagation via Syndicated Interconnectedness," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 67-96, January.
  44. Puy, Damien, 2016. "Mutual funds flows and the geography of contagion," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 73-93.
  45. Dimitri Vayanos & Jean‐Luc Vila, 2021. "A Preferred‐Habitat Model of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 89(1), pages 77-112, January.
  46. Heeho Kim & Sanguk Kwon & Youn Seol, 2022. "Currency Bias of Sovereign Wealth Fund Investments," Korean Economic Review, Korean Economic Association, vol. 38, pages 415-443.
  47. Heaton, John C. & Lucas, Deborah & McDonald, Robert L., 2010. "Is mark-to-market accounting destabilizing? Analysis and implications for policy," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 64-75, January.
  48. Oleg Itskhoki & Dmitry Mukhin, 2021. "Exchange Rate Disconnect in General Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 129(8), pages 2183-2232.
  49. Edmond, Chris & Weill, Pierre-Olivier, 2012. "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 319-335.
  50. Yu, Changhua, 2015. "Evaluating international financial integration in a center-periphery economy," Journal of International Economics, Elsevier, vol. 95(1), pages 129-144.
  51. Tommaso Trani, 2012. "Funding under Borrowing Limits in International Portfolios," IHEID Working Papers 01-2012, Economics Section, The Graduate Institute of International Studies, revised 14 Feb 2012.
  52. Albuquerque, Rui & Watugala, Sumudu, 2011. "Trade Credit and International Return Comovement," CEPR Discussion Papers 8222, C.E.P.R. Discussion Papers.
  53. Yothin Jinjarak & Huanhuan Zheng, 2010. "Financial panic and emerging market funds," Applied Financial Economics, Taylor & Francis Journals, vol. 20(23), pages 1793-1805.
  54. Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane, 2014. "A dynamic equilibrium model of imperfectly integrated financial markets," Journal of Economic Theory, Elsevier, vol. 154(C), pages 490-542.
  55. Lundblad, Christian T & Jotikasthira, Chotibhak, 2009. "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers 7595, C.E.P.R. Discussion Papers.
  56. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
  57. Grégoire, Vincent, 2020. "The rise of passive investing and index-linked comovement," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  58. Charles Engel & Steve Pak Yeung Wu, 2023. "Liquidity and Exchange Rates: An Empirical Investigation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(5), pages 2395-2438.
  59. Chaban, Maxym, 2024. "Exchange rate dynamics and consumption of traded goods," Journal of Macroeconomics, Elsevier, vol. 80(C).
  60. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.
  61. Michael B Devereux & James Yetman, 2010. "Financial deleveraging and the international transmission of shocks," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 274-298, Bank for International Settlements.
  62. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
  63. Sangyup Choi, 2018. "The Impact of US Financial Uncertainty Shocks on Emerging Market Economies: An International Credit Channel," Open Economies Review, Springer, vol. 29(1), pages 89-118, February.
  64. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
  65. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
  66. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
  67. Pavlova, Anna & Rigobon, Roberto, 2010. "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, vol. 80(1), pages 144-156, January.
  68. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
  69. A. Can Inci & H.C. Li & Joseph McCarthy, 2011. "Measuring flight to quality: a local correlation analysis," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 10(1), pages 69-87, February.
  70. Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
  71. Yuting Fan & Ha Nguyen & Rong Qian, 2022. "Collateralized borrowing around the world: Insights from the World Bank Enterprise Surveys," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2420-2437, April.
  72. Ahnert, Toni & Bertsch, Christoph, 2013. "A wake-up call: information contagion and strategic uncertainty," Working Paper Series 282, Sveriges Riksbank (Central Bank of Sweden), revised 01 Mar 2014.
  73. Cabrales, Antonio; Gale, Douglas; Gottardi, Piero, 2015. "Financial Contagion in Networks," Economics Working Papers ECO2015/01, European University Institute.
  74. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
  75. repec:spo:wpmain:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  76. Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
  77. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Leibniz Institute for Financial Research SAFE, revised 2015.
  78. Guembel, Alexander & Sussman, Oren, 2014. "A Welfare Analysis of Fragmented Liquidity Markets," IDEI Working Papers 832, Institut d'Économie Industrielle (IDEI), Toulouse.
  79. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
  80. Platonov, Konstantin, 2024. "Confidence spillovers, financial contagion, and stagnation," Journal of International Money and Finance, Elsevier, vol. 148(C).
  81. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
  82. repec:hal:spmain:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  83. Chabakauri, Georgy, 2012. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 119046, London School of Economics and Political Science, LSE Library.
  84. E. Grizickas Sapkute & M. A. Sánchez-Granero & M. N. López García & J. E. Trinidad Segovia, 2022. "The impact of regulation-based constraints on portfolio selection: The Spanish case," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-14, December.
  85. Aleksandra Babii, 2019. "Exchange Rates Co-movement and International Trade," 2019 Meeting Papers 1150, Society for Economic Dynamics.
  86. Lorenzoni, Guido, 2014. "International Financial Crises," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 689-740, Elsevier.
  87. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
  88. repec:hal:wpspec:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  89. Paulo Matos & Cristiano Da Silva & Antonio Costa, 2022. "On the relationship between COVID-19 and G7 banking co-movements," Economics Bulletin, AccessEcon, vol. 42(2), pages 793-801.
  90. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
  91. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
  92. Dua, Pami & Tuteja, Divya, 2016. "Financial crises and dynamic linkages across international stock and currency markets," Economic Modelling, Elsevier, vol. 59(C), pages 249-261.
  93. Sumudu W. Watugala, 2019. "Economic uncertainty, trading activity, and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 921-945, August.
  94. Devereux, Michael B. & Saito, Makoto & Yu, Changhua, 2020. "International capital flows, portfolio composition, and the stability of external imbalances," Journal of International Economics, Elsevier, vol. 127(C).
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