Working Paper
A rational expectations model of financial contagion
Kodres, Laura E.; Pritsker, Matthew (1998)
We develop a multiple asset rational expectations model of asset prices to study the determinants of financial market contagion, and to provide an explanation for the pattern of contagion during the Asian financial crisis. Our findings show that the pattern and severity of financial contagion depends on the size of markets' sensitivities to common macroeconomic risk factors. The amount of information asymmetry within a financial market also increases its susceptibility to contagion. We focus on contagion through the cross-market hedging of macroeconomic risks. Through this channel, ...
Finance and Economics Discussion Series , Paper 1998-48

Conference Paper
Stock price reactions to derivatives information in the FRY-9c reports
Venkatesh, P. C.; Kodres, Laura E.; Schachter, Barry (1995)
Proceedings , Paper 472

Working Paper
The existence and impact of destabilizing positive feedback traders: evidence from the S&P 500 Index futures market
Kodres, Laura E. (1994)
Finance and Economics Discussion Series , Paper 94-9

Journal Article
A review of regulatory mechanisms to control the volatility of prices
Kodres, Laura E.; Moser, James T.; France, Virginia G. (1994-11)
Economic Perspectives , Volume 18 , Issue Nov

Conference Paper
Directionally similar position taking and herding by large futures market participants
Pritsker, Matthew; Kodres, Laura E. (1995)
Proceedings