Implicit government guarantees and the externality of portfolio diversification: a complex network approach

DOI10.1016/J.PHYSA.2021.125908OpenAlexW3134869600MaRDI QIDQ2067602

Kexing Wu, Xiaojian Niu, Xiaoli Niu

Publication date: 18 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2021.125908

zbMATH Keywords

externalityportfolio diversificationimplicit government guaranteeportfolio-overlapping

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• NLPQL
• bvarsv

Cites Work

• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Statistical procedures for the market graph construction
• A calibration procedure for analyzing stock price dynamics in an agent-based framework
• Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
• Contagion of self-fulfilling financial crises due to diversification of investment portfolios
• Systemic Risk in Financial Systems
• A Rational Route to Randomness
• The multiplex structure of interbank networks
• Time Varying Structural Vector Autoregressions and Monetary Policy

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