16 Pages Posted: 19 Jul 2010
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.
Suggested Citation: 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: https://ssrn.com/abstract=1643554 or http://dx.doi.org/10.1111/j.1468-0106.2010.00509.x
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