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Finance and Economics Discussion Series - A Rational Expectations Model of Financial Contagion (Paperback) Loot Price: R402
Discovery Miles 4 020
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Finance and Economics Discussion Series - A Rational Expectations Model of Financial Contagion (Paperback): United States...

Finance and Economics Discussion Series - A Rational Expectations Model of Financial Contagion (Paperback)

United States Federal Reserve Board; Laura E. Kodres, Matthew Pritsker

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Loot Price R402 Discovery Miles 4 020

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We develop a multiple rational expectations model of securities prices to explain the determinants of financial market contagion. Although the model allows contagion through several channels, our primary focus is on contagion through cross-market rebalancing. Through this channel, investors transmit idiosyncratic shocks from one market to others by adjusting their portfolios' exposures to macroeconomic risks which are shared across markets. The pattern and severity of financial contagion depends on markets' sensitivities to shared macroeconomic risk factors, and on the amount of information asymmetry in each market. The model can generate contagion in the absence of news, and between markets that do not directly share macroeconomic risks.

General

Imprint: Bibliogov
Country of origin: United States
Release date: February 2013
First published: February 2013
Creators: United States Federal Reserve Board
Authors: Laura E. Kodres • Matthew Pritsker
Dimensions: 246 x 189 x 3mm (L x W x T)
Format: Paperback - Trade
Pages: 46
ISBN-13: 978-1-288-71899-3
Categories: Books > Social sciences > Politics & government > General
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LSN: 1-288-71899-3
Barcode: 9781288718993

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