Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86026
Authors: 
Hartmann, P.
Straetmans, S.
de Vries, C.G.
Year of Publication: 
2001
Series/Report no.: 
Tinbergen Institute Discussion Paper 01-071/2
Abstract: 
We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest that simultaneous crashes between stock markets are much more likely than between bond markets. However, for the assessment of financial system stability the widely disregarded cross-asset perspective is particularly important. For example, our data show that stock-bond contagion is approximately 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: 
Financial Crises
Systemic Risk
Contagion
Market Crashes
Flight to Quality
Bivariate Extreme Value Analysis
Extreme Co-movements
JEL: 
G1
F3
C49
Document Type: 
Working Paper

Files in This Item:
File
Size
303.11 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.