PUBLICACIONES

Cross-Asset Contagion in the Financial Crisis: A Bayesian Time-Varying Parameter Approach

ISI: Cross-Asset Contagion in the Financial Crisis: A Bayesian Time-Varying Parameter Approach

ERWIN HANSEN S., MASSIMO GUIDOLIN., MANUELA PEDIO.

2019 - Journal of Financial Markets - Vol 45. Pp 83 - 114

Abstract

The recent U.S. subprime crisis provides us with a perfect framework to study cross-asset contagion mechanisms in the U.S. financial markets. Specifically, we look at how and to what extent a negative shock that initially occurred in the asset-backed security (ABS) low-quality market propagated to ABS higher grade, Treasury repos, Treasury note, corporate bond, and stock markets. We rely on dynamic time series models estimated with Bayesian methods to capture the (potentially) time-varying relation among the different financial markets. We provide evidence of structural changes in the cross-asset relationships and therefore of contagion. Moreover, by observing the impulse response functions of the models, we conclude that contagion mainly occurred through the flight-to-liquidity, risk premium, and the correlated information channels.

Keywords

Contagion, Bond yield, Financial crisis, Interdependence, Bayesian estimation

¿Quieres seguir leyendo? [Accede a la publicación completa]

¿Cómo los hombres podemos ser aliados en la prevención de la violencia de género?

El martes 26 de mayo, el Observatorio de Gestión de Personas de la Facultad de Economía y negocios de la Universidad de Chile, junto al centro de Desarrollo Gerencial (Unegocios), rea...

¿Se han agotado los Recursos Naturales de Chile?

El 18 de mayo de 2020 Chile se convirtió en el primer país latinoamericano con sobregiro ecológico, es decir, hemos agotado como país los recursos naturales que tenemos ...

Todos los Derechos © 2014 | Departamento de Administración - Facultad de Economía y Negocios - Universidad de Chile - Diagonal Paraguay 257, torre 26, oficina 1101, piso 11, Santiago, Chile.