Asset market linkages in crisis periods

Philipp Hartmann, Stefan Straetmans and Casper de Vries

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: Bivariate Extreme Value Analysis; Extreme Co-movements; Flight to Quality (search for similar items in EconPapers)
Date: 2001-07
Note: 229414
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Citations: View citations in EconPapers (45)

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Related works:
Journal Article: Asset Market Linkages in Crisis Periods (2004)
Working Paper: Asset Market Linkages in Crisis Periods (2001)
Working Paper: Asset market linkages in crisis periods (2001)
Working Paper: Asset Market Linkages in Crisis Periods (2001)
Working Paper: Asset Market Linkages in Crisis Periods (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:200171

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