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

DOI10.1016/J.JET.2004.03.004MaRDI QIDQ1763202zbMATH OpenOpenAlexFDO

Authors Itay Goldstein, Ady Pauzner

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

capital controlscontagioncoordination failuresdiversificationfinancial crisesglobal gamesglobalizationstrategic riskwealth effect

Mathematics Subject Classification ID

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

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Cites work

• Advances in economics and econometrics. Theory and applications. Papers from the 8th World Congress of the Econometric Society, Seattle, WA, USA, August 2000. Vol. 3.
• Bank Runs, Deposit Insurance, and Liquidity
• Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders
• Equilibrium selection in global games with strategic complementarities.
• Global Games and Equilibrium Selection

Cited in

(21)

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

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