Rational contagion and the globalization of securities markets

By Guillermo A. Calvo, Enrique G. Mendoza. 2000

807 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/44c7d5cf7636ba5974326b9341c8a9f18120d0e6

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Citations in the corpus

Currency crisis contagion and the identification of transmission channels (2008, background): “Calvo and Mendoza (2000) present a model of utility maximizing investors where the presence of fixed costs to gather and process country-specific information leads to herd behavior thereby creating the room for the contagious spread of crisis.”
Asset Market Linkages in Crisis Periods (2004, background): “The published literature comprises King and Wadhwani (1990), Calvo and Mendoza (2000), Kodres and Pritsker (2002), and Kyle and Xiong (2001).”
Modeling financial contagion using mutually exciting jump processes (2015, neutral): “, Calvo and Mendoza (2000), Chang and Velasco (2001), Caramazza, Ricci, and Salgado (2004), Dornbusch,”
Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007, background): “, 2001), the cross-market hedging channel (Kodres and Pritsker, 2002; Calvo and Mendoza, 2000), and the wealth effect channel (Kyle and Xiong, 2001).”
The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets (2012, background): “Underlying mechanisms include financial cognitive dissonance, endogenous liquidity shocks, perception of political risk (Forbes and Rigobon, 2000), portfolio rebalancing (Kodres and Pritsker, 2002), and informational cascades (Calvo and Mendoza, 2000).”
Credit Frictions and 'Sudden Stops' in Small Open Economies: An Equilibrium Business Cycle Framework for Emerging Markets Crises (2002, neutral): “…markets, foreign traders face non-trivial recurrent costs to follow economic, political and social developments in the countries they invest in. Calvo and Mendoza (2000b) argue that an arrangement where a pool of largely uninformed global investors invest in informed securities firms, which…”
Analysis of intraday herding behavior among the sector ETFs (2004, background): “Calvo and Mendoza (2000) provide a model of herding activity that implies that asymmetric information can lead emerging market investors to engage in herding.”
Room to Move: International Financial Markets and National Welfare States (2000, neutral): “Calvo and Mendoza, 2000.”
Trilemmas and trade-offs: living with financial globalisation (2015, background): “13 Managers of highly diversified funds might have little incentive to focus on particular countries’ economic fundamentals, as argued by Calvo and Mendoza (2000). 14 McKinnon (1982) hypothesised that, even with floating exchange rates, a high degree of substitutability among the major industrial co”