Asset market linkages in crisis periods

• 成果类型: Article
• 署名作者: Hartmann, P; Straetmans, S; de Vries, CG
• 署名单位: Centre for Economic Policy Research - UK; Maastricht University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/003465304323023831
• 发表日期: 2004-02
• 页码: 313-326
• 关键词: stock; volatility; contagion; transmission; returns; tail; bond

摘要

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest that simultaneous crashes between stock markets are much more likely than between bond markets. However, for the assessment of financial system stability the widely disregarded cross-asset perspective is particularly important. For example, our data show that stock-bond contagion is approximately as frequent as flight to quality from stocks into bonds. Extreme cross-border linkages are surprisingly similar to national linkages, illustrating a potential downside to international financial integration.