The Role of Portfolio Constraints in the International Propagation of Shocks
By Anna Pavlova, Roberto Rigobon. 2008
210 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1100fb7f8b47a12703260bb1d87c50730f7d579d
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Elie Bouri
- Zhiguo He
- Aktham Issa Maghyereh
- B. Awartani
- Susan Thorp
- Arvind Krishnamurthy
- Loriana Pelizzon
- Nicolas Coeurdacier
In Finance
- Arvind Krishnamurthy
- Zhiguo He
- Susan Thorp
- Loriana Pelizzon
- Nicolas Coeurdacier
- Stéphane Guibaud
- Annastiina Silvennoinen
- Francesco Ravazzolo
Citations in the corpus
- Financialization, Crisis and Commodity Correlation Dynamics (2013, background): “gold, nickel, all energy futures, the GSCI, and all stock indexes, but has the reverse sign for co¤ee and orange juice. Our results have a similar avour to Tang and Xiong (2009) who also noted the importance of spillovers from stock markets and the US exchange rate into commodity volatility.”
- The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, background): “9 The early research of Kling (1985) indicates that oil price is see Kyle and Xiong (2001), Kodres and Pritsker (2002), Broner et al. (2006), Pavlova and Rigobon (2008), Danielsson et al. (2011), and Büyük ş ahin and Robe (2014) 5 In terms of returns, there are many reasons why the oil market and…”
- Can Oil Prices Forecast Exchange Rates (2011, unknown): “West (2006), Using Out-of-sample Mean Squared Prediction Errors to Test the Martingale Di¤erence Hypothesis,Journal of Econometrics 135, 155-186.”
- A Model of Capital and Crises (2012, background): “Du¢ e (2007) discusses some of these cases in the context of search costs 3The same distinction exists between our paper and Pavlova and Rigobon (2008), who study a model with logutility agents facing exogenous portfolio constraints and use the model to explore some regularities in exchange rates…”
- Exchange Rate Disconnect in General Equilibrium (2017, unknown): “It implies the following variance decomposition: covðDct 2 Dc*t ,DqtÞ varðDqtÞ 5 2gkq 1 ka covðDat 2 Da*t ,DqtÞ varðDqtÞ , (24) where the last term is the contribution of the product-market shocks to the overall equilibrium volatility of the real exchange rate.22 While the expenditure switching forc”
- Measuring Sovereign Contagion in Europe (2014, background): “In other words, as shown by Pavlova and Rigobon (2007), even though the model is always subject to portfolio constraints, the coefficients across asset prices shift with the tightening of the restriction.”
- International portfolio diversification is better than you think (2011, background): “, Sellin and Werner (1993), Bhamra (2004), Pavlova and Rigobon (2008) or Soumare and Wang (2006).”