Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152505
Authors: 
Hartmann, Philipp
Straetmans, Stefan
de Vries, Casper
Year of Publication: 
2001
Series/Report no.: 
ECB Working Paper 71
Abstract: 
We 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
Subjects: 
Bivariate Extreme Value Analysis
Extreme Co-movements
Flight to Quality
JEL: 
G1
F3
C49
Document Type: 
Working Paper

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