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货币危机传染的投资组合模型 被引量:9

The Portfolio Model of Currency Crises Contagion
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摘要 传染是近10年货币危机中的一个常见现象。通过构造具有多种风险资产的投资组合模型,可解释造成货币危机传染的多种原因;共同冲击、期望收益率变化、不确定性的增加、风险厌恶程度的变化以及资本损失等,都可以通过影响国际投资者的投资组合而造成货币危机的传染。
作者 金洪飞
出处 《当代财经》 CSSCI 北大核心 2004年第4期25-28,32,共5页 Contemporary Finance and Economics
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参考文献6

  • 1金洪飞.关于货币危机传染文献综述[J].经济学动态,2001(7):61-66. 被引量:8
  • 2金洪飞.理性政府下的货币危机及其传染[J].当代财经,2003(1):43-47. 被引量:5
  • 3Calvo, Sara and Carmen M.Reihart Capital Flows to Latin America: is There Evidence of Contagion Effects[A].In Guillenno Calvo, Morris Goldstein, and Eduard Hochreiter, ed., Private Capital Flows to Emerging Markets[C] . Washington, DC: Institute for International Economics, 1996,Also available at Carmen M. Reinhart's Homepage, http://www.puaf.umd.edu/faculty/papers/reinhart/CONT1a.PAP.PDF.1996.
  • 4Calvo, Guillermo A., and Enrique G. Mendoza. Rational Contagion and the Globalization of Securities Markets[J].Journal of International Economics, 2000,(51): 79-113.
  • 5Kodres, Laura E.and Matthew Pritsker.A Rational Expectations Model of Financial Contagion, Finance and Economics Discussion Series, The Federal Reserve Board, 1999
  • 6Schinnasi, Garry J., and R. Todd Smith. Portfolio Diversification, Leverage, and Financial Contagion[J].IMF Staff Papers. 2000,47(2) : 159-176.

二级参考文献39

  • 1Obstfeld, Maurice. The Logic of Currency Crises [J]. NBER Working Paper, No. 4640, Cahiers Economiques et Monetaires, Bank of France, 1994, (43): 189-213.
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