Asset market linkages in crisis periods

Stefan Straetmans, Casper G. de Vries () and Philipp Hartmann
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Stefan Straetmans: University of Maastricht - Limburg Institute of Financial Economics (LIFE, P.O. Box 616, 6200 MD Maastricht, Netherlands., http://www.maastrichtuniversity.nl/web/Home.htm

No 71, Working Paper Series from European Central Bank

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. JEL Classification: G1; F3; C49.

Keywords: Financial crises; systemic risk; contagion; market crashes; flight to quality; bivariate extreme value analysis; extreme co-movements. (search for similar items in EconPapers)
Date: 2001-07
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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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