Abstract

http://ssrn.com/abstract=1643554
 
 

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Comovements of Different Asset Classes During Market Stress


Jan Piplack


affiliation not provided to SSRN


Pacific Economic Review, Vol. 15, Issue 3, pp. 385-400, August 2010

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.

Number of Pages in PDF File: 16

Accepted Paper Series


Date posted: July 19, 2010  

Suggested Citation

Piplack, Jan, Comovements of Different Asset Classes During Market Stress. Pacific Economic Review, Vol. 15, Issue 3, pp. 385-400, August 2010. Available at SSRN: http://ssrn.com/abstract=1643554 or http://dx.doi.org/10.1111/j.1468-0106.2010.00509.x

Contact Information

Jan Piplack (Contact Author)
affiliation not provided to SSRN
No Address Available
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