Asset Market Linkages in Crisis Periods
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-countries suggest that s...
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| Veröffentlicht in: | The review of economics and statistics 2004-02, Vol.86 (1), p.313-326 |
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| container_end_page | 326 |
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| container_title | The review of economics and statistics |
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| creator | Hartmann, P. Straetmans, S. de Vries, C. G. |
| description | 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-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. |
| doi_str_mv | 10.1162/003465304323023831 |
| format | Article |
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Extreme cross-border linkages are surprisingly similar to national linkages, illustrating a potential downside to international financial integration.</description><subject>Bond markets</subject><subject>Contour lines</subject><subject>Correlations</subject><subject>Critical values</subject><subject>Economic models</subject><subject>Economic theory</subject><subject>Estimators</subject><subject>Financial markets</subject><subject>Flight to quality</subject><subject>Government bonds</subject><subject>Probabilities</subject><subject>Return on assets</subject><subject>Securities markets</subject><subject>Stock markets</subject><subject>Studies</subject><subject>Systems stability</subject><issn>0034-6535</issn><issn>1530-9142</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2004</creationdate><recordtype>article</recordtype><recordid>eNp9kE1LAzEQhoMoWKt_QDwsXjxtncnXbo6lWBUqetBzyGazktZ2a7IV7K83ZUUEi6eB4XmfGV5CzhFGiJJeAzAuBQPOKAPKSoYHZIBpkSvk9JAMdkCeCHFMTmKcAwAWyAbkahyj67IHExZpzPxqYV5dzPwqmwQffcyeXPBtHU_JUWPeojv7nkPyMr15ntzls8fb-8l4llsB2OV11UAtOXO8csJxZ2kpuVG2AlELVonGCqVqQ6k1tKYKwRRoSqecaaytyooNyWXvXYf2feNip-ftJqzSSY2Ky7KQQiaI9pANbYzBNXod_NKET42gd33ov32k0KgPLf1v6X-B6Z5ASD99lNKjTjBy0BQoJocGpbd-vV900YvmsWvDz6-MpsuFYF-5YXxT</recordid><startdate>20040201</startdate><enddate>20040201</enddate><creator>Hartmann, P.</creator><creator>Straetmans, S.</creator><creator>de Vries, C. 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| ispartof | The review of economics and statistics, 2004-02, Vol.86 (1), p.313-326 |
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| language | eng |
| recordid | cdi_mit_journals_10_1162_003465304323023831 |
| source | JSTOR Mathematics & Statistics; EBSCOhost Business Source Complete; JSTOR Archive Collection A-Z Listing; MIT Press Journals |
| subjects | Bond markets Contour lines Correlations Critical values Economic models Economic theory Estimators Financial markets Flight to quality Government bonds Probabilities Return on assets Securities markets Stock markets Studies Systems stability |
| title | Asset Market Linkages in Crisis Periods |
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