Asset Market Linkages in Crisis Periods

Casper G. de Vries (), Philipp Hartmann and Stefan Straetmans

No 2916, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Keywords: bivariate extreme value analysis; contagion; extreme co-movements; financial crises; flight to quality; market crashes; systemic risk (search for similar items in EconPapers)
JEL-codes: C49 F30 G10 (search for similar items in EconPapers)
Date: 2001-08
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Related works:
Working Paper: Asset Market Linkages in Crisis Periods (2001)
Working Paper: Asset market linkages in crisis periods (2001)
Journal Article: Asset market linkages in crisis periods (2001)
Journal Article: Asset Market Linkages in Crisis Periods (2004)
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