Asset market linkages in crisis periods
AbstractWe characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries suggest that simultaneous crashes in stock markets are about two times more likely than in bond markets. Moreover, stock-bond contagion is about 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. JEL Classification: G1; F3; C49.
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Bibliographic InfoArticle provided by Federal Reserve Bank of Chicago in its journal Proceedings.
Volume (Year): (2001)
Issue (Month): May ()
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Other versions of this item:
- de Vries, Casper G & Hartmann, Philipp & Straetmans, Stefan, 2001. "Asset Market Linkages in Crisis Periods," CEPR Discussion Papers 2916, C.E.P.R. Discussion Papers.
- Hartmann, P. & Straetmans, S. & De Vries, C.G., 2001. "Asset Market Linkages in Crisis Periods," Papers 71, Quebec a Montreal - Recherche en gestion.
- Stefan Straetmans & Casper G. De Vries & Philipp Hartmann, 2001. "Asset market linkages in crisis periods," Working Paper Series 071, European Central Bank.
- G1 - Financial Economics - - General Financial Markets
- F3 - International Economics - - International Finance
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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