Investment Restrictions and Contagion in Emerging Markets

Topics:
Investment and Capital Markets
Tags:
Asset,
Asset Management,
Business Operations,
Emerging Market,
Fund Manager,
IMF,
Operational Planning,
Volatility
Source:
International Monetary Fund

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Overview: This paper analyzes an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and investment restrictions; and to analyze the sensitivity of the equilibrium price of an asset to shocks originating in other fundamentally unrelated asset markets for a given mix of common investors. The paper also discusses potential implications of recent and on-going changes in the investor base for emerging market securities for the asset price volatility.

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Format: PDF | Size: 525KB | Date: Sep 2005 | Pages: 34

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