| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2928 |
| DP2928 Free Trade versus Strategic Trade as a Choice Between Two 'Second-best' Policies: A Symmetric versus Asymmetric Information Analysis | |
| Kresimir Zigic; Delia Ionascu | |
| 发表日期 | 2001-08-22 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Financial crises Systemic risk Contagion Market crashes Flight to quality Bivariate extreme value analysis Extreme co-movements |
| URL | https://cepr.org/publications/dp2928 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531972 |
| 推荐引用方式 GB/T 7714 | Kresimir Zigic,Delia Ionascu. DP2928 Free Trade versus Strategic Trade as a Choice Between Two 'Second-best' Policies: A Symmetric versus Asymmetric Information Analysis. 2001. |
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