Arbeitspapier
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 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
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 71
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods: Special Topics: Other
- Thema
-
Bivariate Extreme Value Analysis
Extreme Co-movements
Flight to Quality
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hartmann, Philipp
Straetmans, Stefan
de Vries, Casper
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hartmann, Philipp
- Straetmans, Stefan
- de Vries, Casper
- European Central Bank (ECB)
Entstanden
- 2001
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