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Sunday, October 18, 2020 | History

3 edition of Wealth transfers, contagion, and portfolio constraints found in the catalog.

Wealth transfers, contagion, and portfolio constraints

Anna Pavlova

Wealth transfers, contagion, and portfolio constraints

by Anna Pavlova

  • 206 Want to read
  • 10 Currently reading

Published by National Bureau of Economic Research in Cambridge, Mass .
Written in English

    Subjects:
  • Stocks -- Prices -- Econometric models,
  • Foreign exchange rates -- Econometric models

  • Edition Notes

    StatementAnna Pavlova, Roberto Rigobon.
    SeriesNBER working paper series -- no. 11440., Working paper series (National Bureau of Economic Research) -- working paper no. 11440.
    ContributionsRigobón, Roberto., National Bureau of Economic Research.
    The Physical Object
    Pagination48 p. :
    Number of Pages48
    ID Numbers
    Open LibraryOL17626657M
    OCLC/WorldCa60695744

      Building a hybrid portfolio requires venturing into other investments such as bonds, commodities, real estate, and even art. There is a great deal of flexibility in the hybrid portfolio . Rebalancing is the process of realigning the weightings of a portfolio of assets. Rebalancing involves periodically buying or selling assets in a portfolio to maintain an original desired level of.

      In Kodres and Pritsker (), contagion happens through cross-market rebalancing, when traders hit by a shock in one market rebalance their portfolios. In Pavlova and Rigobon (), contagion arises from wealth transfers and portfolio constraints. 2Cited by: 1. A Modern Contagion: Imperialism and Public Health in Iran's Age of Cholera by Amir A. Afkhami. In A Modern Contagion, Amir Afkhami argues that Iran’s nineteenth-century Cholera crisis had a profound influence on the development of modern Iran, steering the .

    Wealth Transfers, Contagion, and Portfolio Constraints with Roberto Rigobon: w July Asset Prices and Exchange Rates with Roberto Rigobon: w Published: Anna Pavlova & Roberto Rigobon, "Asset Prices and Exchange Rates," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 20(4), pages.   The issue of portfolio choice over the life cycle is encountered by every investor. Popular finance books [e.g., Malkiel ()] and financial counselors generally give the advice to shift the portfolio composition towards relatively safe assets, such as Treasury bills, and away from risky stocks as the investor grows older and reaches retirement.. But what could be the economic justification Cited by:


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Wealth transfers, contagion, and portfolio constraints by Anna Pavlova Download PDF EPUB FB2

In our model, international transmission occurs through the terms of trade, through the common discount factor for cash flows, and, finally, through an additional channel reflecting the tightness of the portfolio constraints. Portfolio constraints are shown to generate endogenous wealth transfers to or from the Periphery countries.

These implicit transfers are responsible for creating contagion among the Cited by: Portfolio constraints are shown to generate endogenous wealth transfers to or from the Periphery countries.

These implicit transfers are responsible for creating contagion among the terms of trade of the Periphery countries, as well as their stock market prices. reflecting the tightness of the portfolio constraints. Portfolio constraints are shown to genera te endogenous wealth tra nsfers to or from the Contagion countries.

portfolio constraints from those of the other two channels. The portfolio constraints alter the wealth distribution and the portfolio compositions, introducing a common stochastic factor, which reflects the tightness of the constraints, into the dynamics of the stock prices and the terms of trade.

reflecting the tightness of the portfolio constraints. Portfolio constraints are shown to generate endogenous wealth transfers to or from the Periphery countries.

These implicit transfers are responsible for creating contagion among the terms of trade of the Periphery countries, as well as their stock market prices. channel re°ecting the tightness of the portfolio constraints.

Portfolio constraints are shown to generate endogenous wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among the terms of trade of the Periphery countries, as well as their stock market prices.

We show that portfolio constraints generate wealth transfers between the Periphery countries and the Center, 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. BOOKS Sovereign Wealth Funds: The New Intersection of Money and Politics, published by Oxford University Press, published February PUBLICATIONS IN REFEREED JOURNALS “Optimal Portfolio Allocation for Sovereign Wealth Funds in the Shadow of Commodity Based National Wealth” with Yao Yao, International Finance Review, provide an equilibrium model of the wealth effect.

Gromb and Vayanos ~. study an equilibrium model of arbitrage trading with margin constraints, and they show a similar contagion effect to our model. The wealth effect studied in this paper is related to the papers on portfolio insurance by Gross-man and Zhou ~.

and Basak ~!. We show that portfolio constraints generate wealth transfers between the Periphery countries and the Center, 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 by:   Part of the reason that the books like The Stand, Station Eleven, and The Andromeda Strain and the movies Outbreak, Contagion, and 12 Monkeys grab our attention is because of our evolved aversion.

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. The Role of Portfolio Constraints in the International Propagation of Shocks,Review of Economic Studies, 75, pp (With Roberto Rigobon.) This paper was previously circulated under the title "Wealth Transfers, Contagion and Portfolio Constraints," NBER working paper No.

and CEPR discussion paper No. Wealth Transfers, Contagion and Portfolio Constraints CEPR Discussion Papers, C.E.P.R.

Discussion Papers View citations (7) Also in NBER Working Papers, National Bureau of Economic Research, Inc () View citations (11) A Dynamic Model with Import Quota Constraints.

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 : Anna Pavlova and Roberto Rigobon. Wealth transfers, contagion, and portfolio constraints by Anna Pavlova 2 editions - first published in ASSA, Januarypresent "Wealth Transfers and Portfolio Constraints" (with Anna Pavlova) ASSA, Januarypresent "Asset Prices and Exchange Rates" (with Anna Pavlova) ASSA, Januarypresent "Flight to quality, Contagion, and Portfolio Constraints" (with Anna Pavlova).

Take a more active role in strategic asset allocation Goals-Based Wealth Management is a manual for protecting and growing client wealth in a way that changes both the services and profitability of the firm.

Written by a year veteran of international wealth education and analysis, this informative guide explains a new approach to wealth management that allows individuals to take on a more. The diffusion volatility σ is set to and the Brownian motions have a local correlation of ρ = The constant jump size is assumed to be −5%, i.e.

the loss size L i equals The difference between the jump intensities in the calm and the contagion state is captured by the multiple ξ i ≥ 1: λ i cont, cont = ξ i λ i calm, ⁎, i ∈ {A, B}, where we set ξ i = 5 and λ i calm Cited by: 9.

Valuation effects of bankruptcy announcements The effect of a bankruptcy announcement on competitors is the sum of the contagion and competitive effects. Whereas in general one would expect the contagion effect to be negative and the competitive effect to be positive, no theoretical argument suggests that one of the effects ought to dominate Cited by:.

The total of the components of spending in the economy, added to get GDP: Y = C + I + G + X – M. It is the total amount of demand for (or expenditure on) goods and services produced in the economy. See also: consumption, investment, government spending, exports, imports. As a result, changes in current income influence spending, affecting the.

He is also the author of several Christian books including: The Revelation of Restoration, Wealth Transfer & Standing Where Others Fall. God has used His servant to start many Business fellowships across the shores of Nigeria.

Dr. Attah believes that the word of God is true all the time. As an astute believer in the word of God, Dr. Attah has Author: DR. BEN ATTAH.International finance, asset pricing, exchange rate, terms of trade, wealth transfer, portfolio constraints, contagion, international transmission 8.

The Effects of War Risk on U.S. Financial Markets.