Asset market linkages in crisis periods

Arbeitspapier

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

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 71

Classification and Topics

• Classification: Wirtschaft ; Econometric and Statistical Methods: Special Topics: Other
• Subject: Bivariate Extreme Value Analysis ; Extreme Co-movements ; Flight to Quality

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hartmann, Philipp ; Straetmans, Stefan ; de Vries, Casper
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/152505
• Last update: 10.03.2025, 11:43 AM CET