EconPapers    
Economics at your fingertips  
 

Systemic risk in carry-trade portfolios

Chih-Liang Liu and Hsin-Feng Yang

Finance Research Letters, 2017, vol. 20, issue C, 40-46

Abstract: Risk contagion between carry trade portfolios and stock markets had been explored in literatures, leaving inconsistent controversy. Instead of exploring ordinary return-volatility spillovers, this paper focuses on a systemic contagion, the tail risk conditional on extreme events in other markets. Using a conditional value-at-risk (CoVaR) model, we contribute to this line of literature by showing that there is bilateral systemic contagion between carry trades and stock markets in the U.S., European, or Asia-Pacific regions. Such a systemic contagion is particularly significant during the 2000–2001 dot-com bubble and 2007–2009U.S. credit crisis.

Keywords: Carry trade; Systemic contagion; CoVaR model; Financial crisis (search for similar items in EconPapers)
JEL-codes: G01 G15 G21 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612316301623
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:20:y:2017:i:c:p:40-46

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-11-14
Handle: RePEc:eee:finlet:v:20:y:2017:i:c:p:40-46