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The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

A Rational Expectations Model of Financial Contagion

Open access
Kodres, Laura E., Pritsker, Matthew·2002·The Journal of Finance
DOI 10.1111/1540-6261.00441
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Abstract

We develop a multiple asset rational expectations model of asset prices to explain financial market contagion. Although the model allows contagion through several channels, our focus is on contagion through cross‐market rebalancing. Through this channel, investors transmit idiosyncratic shocks from one market to others by adjusting their portfolios' exposures to shared macroeconomic risks. The pattern and severity of financial contagion depends on markets' sensitivities to shared macroeconomic risk factors, and on the amount of information asymmetry in each market. The model can generate contagion in the absence of news, as well as between markets that do not directly share macroeconomic risks.

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Metadata

Authors
Kodres, L. E., & Pritsker, M.
Venue
The Journal of Finance
Publisher
Wiley
Published
2002-04
Volume
57
Issue
2
Pages
769-799
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/1540-6261.00441
OpenAlex
W2166422272
Cited by
1,076
References
2
FWCI
63.39
Type
journal article
Language
en
Open access
hybrid

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CoChat. (2026). Citation check: A Rational Expectations Model of Financial Contagion. https://app.cochat.ai/papers/10.1111/1540-6261.00441
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Kodres, L. E., & Pritsker, M. (2002). A Rational Expectations Model of Financial Contagion. The Journal of Finance. https://doi.org/10.1111/1540-6261.00441

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.