Comovements Of Different Asset Classes During Market Stress
AbstractThis paper measures US financial asset class linkages (stocks, bonds, T-bills and gold) during crisis periods. We use extreme value analysis to assess the bivariate exposure of one asset class to extreme movements in the other asset classes. These bivariate co-crash probabilities can be interpreted as a measure of financial contagion. Statistical testing reveals that bivariate extreme linkage estimates exhibit time variation for certain asset pairs, possibly caused by exogenous factors like oil shocks or shifts in monetary policy. Our results have potentially important implications for long-run strategic asset allocation and pension fund management. Copyright 2010 The Authors. Journal compilation 2010 Blackwell Publishing Asia Pty Ltd
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Pacific Economic Review.
Volume (Year): 15 (2010)
Issue (Month): 3 (08)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=1361-374X
Other versions of this item:
- Jan Piplack & Stefan Straetmans, 2009. "Comovements of different asset classes during market stress," Working Papers 09-09, Utrecht School of Economics.
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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