Modeling financial contagion using mutually exciting jump processes

• 成果类型: Article
• 署名作者: Ait-Sahalia, Yacine; Cacho-Diaz, Julio; Laeven, Roger J. A.
• 署名单位: Princeton University; National Bureau of Economic Research; University of Amsterdam
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.03.002
• 发表日期: 2015
• 页码: 585-606
• 关键词: Jumps; contagion; CRISIS; Hawkes process; Self- and mutually exciting processes

摘要

We propose a model to capture the dynamics of asset returns, with periods of crises that are characterized by contagion. In the model, a jump in one region of the world increases the intensity of jumps both in the same region (self-excitation) as well as in other regions (cross-excitation), generating episodes of highly clustered jumps across world markets that mimic the observed features of the data. We develop and implement moment-based estimation and testing procedures for this model. The estimates provide evidence of self-excitation both in the US and the other world markets, and of asymmetric cross-excitation, with the US market typically having more influence on the jump intensity of other markets than the reverse. We propose filtered values of the jump intensities as a measure of market stress and examine their out-of-sample forecasting abilities. (C) 2015 Elsevier B.V. All rights reserved.