Risk Sharing and Financial Contagion in Asia: An Asset Price Perspective
AbstractThis paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identification of realized stochastic discount factors. Risk sharing is low in Asia, and varies across time and countries, whereas contagion risks are more significant intra-regionally, and relatively stable over the past decade. An overall tradeoff exists between risk sharing and contagion, but the terms of tradeoffs vary across countries, depending on relative economic fluctuations and inflation differentials. Asia, therefore, can potentially enhance risk sharing without raising contagion risk.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 11/242.
Date of creation: 01 Oct 2011
Date of revision:
Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stefano Battiston & Domenico Delli Gatti & Mauro Gallegati & Bruce C. Greenwald & Joseph E. Stiglitz, 2009.
"Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, and Systemic Risk,"
NBER Working Papers
15611, National Bureau of Economic Research, Inc.
- Battiston, Stefano & Delli Gatti, Domenico & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012. "Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1121-1141.
- Diebold, Francis X. & Yilmaz, Kamil, 2007.
"Measuring financial asset return and volatility spillovers, with application to global equity markets,"
CFS Working Paper Series
2007/02, Center for Financial Studies (CFS).
- FrancisX. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, 01.
- Francis X. Diebold & Kamil Yilmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," PIER Working Paper Archive 07-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring financial asset return and volatility spillovers, with application to global equity markets," Working Papers 08-16, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," NBER Working Papers 13811, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Kamil Yılmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 0705, Koc University-TUSIAD Economic Research Forum.
- Diebold, Francis X. & Yilmaz, Kamil, 2008. "Measuring financial asset return and volatilty spillovers, with application to global equity markets," CFS Working Paper Series 2008/26, Center for Financial Studies (CFS).
- Simon Gray & Andreas Jobst & Joshua Felman & Ana Carvajal, 2011. "Developing ASEAN5 Bond Markets: What Still Needs to be Done?," IMF Working Papers 11/135, International Monetary Fund.
- Masten, Arjana Brezigar & Coricelli, Fabrizio & Masten, Igor, 2008. "Non-linear growth effects of financial development: Does financial integration matter?," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 295-313, March.
- Reza Siregar & Ramkishen Rajan & Tony Cavoli, 2004. "A Survey of Financial Integration in East Asia; How Far? How Much Further to Go?," Centre for International Economic Studies Working Papers 2004-01, University of Adelaide, Centre for International Economic Studies.
- Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008. "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive wp2008_09, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Akito Matsumoto & Robert P. Flood & Nancy P. Marion, 2009.
"International Risk Sharing During the Globalization Era,"
IMF Working Papers
09/209, International Monetary Fund.
- Robert P. Flood & Nancy P. Marion & Akito Matsumoto, 2012. "International risk sharing during the globalization era," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 394-416, May.
- Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
- Eduardo Borensztein & Prakash Loungani, 2011. "Asian Financial Integration: Trends and Interruptions," IMF Working Papers 11/4, International Monetary Fund.
- Leslie Teo & David Cowen & Hemant Shah & Ranil Salgado & Alessandro Zanello, 2006. "Financial Integration in Asia: Recent Developments and Next Steps," IMF Working Papers 06/196, International Monetary Fund.
- Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013.
"Pricing the term structure with linear regressions,"
Journal of Financial Economics,
Elsevier, vol. 110(1), pages 110-138.
- Tobias Adrian & Emanuel Moench, 2008. "Pricing the term structure with linear regressions," Staff Reports 340, Federal Reserve Bank of New York.
- Azis, Iwan J., 2013. "Inadequate Regional Financial Safety Nets Reflect Complacency," ADBI Working Papers 411, Asian Development Bank Institute.
- Selim Elekdag & Phurichai Rungcharoenkitkul & Yiqun Wu, 2012. "The Evolution of Asian Financial Linkages: Key Determinants and the Role of Policy," IMF Working Papers 12/262, International Monetary Fund.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).
If references are entirely missing, you can add them using this form.