Advanced Search
MyIDEAS: Login

Extremal Dependence in International Output Growth: Tales from the Tails

Contents:

Author Info

  • Miguel de Carvalho
  • António Rua

Abstract

The statistical modelling of extreme values has recently received substantial attention in a broad spectrum of sciences. Given that in a wide variety of scenarios, one is mostly concerned with explaining tail events (say, an economic recession) than central ones, the need to rely on statistical methods well qualified for modelling extremes arises. Unfortunately, several classical tools regularly applied in the analysis of central events, are simply innapropriate for the analysis of extreme values. In particular, Pearson correlation is not a proper measure for assessing the level of agreement of two variables when one is concerned with tail events. This paper explores the comovement of the economic activity of several OECD countries during periods of large positive and negative growth (right and left tails, respectively). Extremal measures are here applied as means to assess the degree of cross-country tail dependence of output growth rates. Our main empirical findings are: (i) the comovement is much stronger in left tails than in right tails; (ii) asymptotic independence is claimed by the data; (iii) the dependence in the tails is considerably stronger than the one arising from a Gaussian dependence model. In addition, our results suggest that, among the typical determinants for explaining international output growth synchronization, only economic specialization similarity seems to play a role at extreme events.

Download Info

If 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.
File URL: http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201008.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w201008.

as in new window
Length:
Date of creation: 2010
Date of revision:
Handle: RePEc:ptu:wpaper:w201008

Contact details of provider:
Postal: R. do Ouro, 27, 1100 LISBOA
Phone: 21 321 32 00
Fax: 21 346 48 43
Email:
Web page: http://www.bportugal.pt
More information through EDIRC

Related research

Keywords:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ptu:wpaper:w201008. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (DEE-NTDD).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.