The Role of Portfolio Constraints in the International Propagation of Shocks
构建一个三商品三国家中心外围动态均衡模型，研究中心国投资者面临投资组合约束时，如何通过财富转移加剧外围国家股市联动，解释传染、放大和避险效应。
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. Copyright 2008, Wiley-Blackwell.