Comovements of different asset classes during times of market stress

J. Piplack, S.T.M. Straetmans

Research output: Contribution to journalArticleAcademicpeer-review

9 Citations (Scopus)

Abstract

This paper measures us financial asset class linkages (stocks, bonds, t-bills and gold) during crisis periods. We use extreme value analysis to assess the bivariate exposure of one asset class to extreme movements in the other asset classes. These bivariate co-crash probabilities can be interpreted as a measure of financial contagion. Statistical testing reveals that bivariate extreme linkage estimates exhibit time variation for certain asset pairs, possibly caused by exogenous factors like oil shocks or shifts in monetary policy. Our results have potentially important implications for long-run strategic asset allocation and pension fund management.
Original languageEnglish
Pages (from-to)385-400
Number of pages16
JournalPacific Economic Review
Volume15
Issue number3
DOIs
Publication statusPublished - 1 Jan 2010

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