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IMF Staff Papers, Volume 47, No. 2

This paper analyzes portfolio diversification, leverage, and financial contagion. It studies the extent to which basic principles of portfolio diversification explain “contagious selling” of financial assets when there are purely local shocks. The paper demonstrates that the elementary portfolio the...

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Bibliographic Details
Corporate Author: International Monetary Fund Research Dept
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2000
Series:IMF Staff Papers
Subjects:
Government And The Monetary System
Payment Systems
Investment
Farm Produce
International Trade Organizations
Commercial Treaties
Monetary Economics
Regimes
Commodity Price Shocks
Trade Policy
Exports And Imports
Intangible Capital
International Economics
Agriculture: General
Money
Investments: Commodities
Commodities
Standards
Currencies
Investments: General
Monetary Systems
Prices
Macroeconomics
Commodity Prices
Agricultural Commodities
Capacity
Investment & Securities
Econometrics & Economic Statistics
Capital
Commercial Products
Money And Monetary Policy
Commodity Markets
Japan
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper analyzes portfolio diversification, leverage, and financial contagion. It studies the extent to which basic principles of portfolio diversification explain “contagious selling” of financial assets when there are purely local shocks. The paper demonstrates that the elementary portfolio theory offers key insights into “contagion.” Most important, portfolio diversification and leverage are sufficient to explain why an investor will find it optimal to significantly reduce all risky asset positions when an adverse shock impacts just one asset
Physical Description:128 pages
ISBN:9781451974232

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