Contagion of self-fulfilling financial crises due to diversification of investment portfolios

DOI10.1016/j.jet.2004.03.004zbMath1080.91032OpenAlexW2062809408MaRDI QIDQ1763202

Ady Pauzner, Itay Goldstein

Publication date: 22 February 2005

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2004.03.004

zbMATH Keywords

globalizationdiversificationcontagionfinancial crisesglobal gameswealth effectstrategic riskcapital controlscoordination failures

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Portfolio theory (91G10)

Related Items (19)

Efficient ex-ante stabilization of firms ⋮ Government guarantees and financial stability ⋮ Membership in citizen groups ⋮ Coordination and delay in global games ⋮ Portfolio diversification and systemic risk in interbank networks ⋮ Financial fragility and distress propagation in a network of regions ⋮ Dynamic coordination among heterogeneous agents ⋮ Stock market contagion: a new approach ⋮ The robust selection of rationalizability ⋮ Speculative attacks with multiple targets ⋮ Relative risk aversion and the transmission of financial crises ⋮ Recurrent crises in global games ⋮ Risk-sharing and crises. Global games of regime change with endogenous wealth ⋮ Coordination cycles ⋮ Noise-independent selection in global games and monotone potential maximizer: a symmetric \(3 \times 3\) example ⋮ Correlation and coordination risk ⋮ Equilibrium selection in global games with strategic complementarities. ⋮ Implicit government guarantees and the externality of portfolio diversification: a complex network approach ⋮ A dominance solvable global game with strategic substitutes

Cites Work

• Unnamed Item
• Equilibrium selection in global games with strategic complementarities.
• Global Games and Equilibrium Selection
• Bank Runs, Deposit Insurance, and Liquidity
• Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders

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