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Risk Sharing and Financial Contagion in Asia :, An Asset Price Perspective, Phurichai Rungcharoenkitkul

Abstract
This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identification of realized stochastic discount factors. Risk sharing is low in Asia, and varies across time and countries, whereas contagion risks are more significant intra-regionally, and relatively stable over the past decade. An overall tradeoff exists between risk sharing and contagion, but the terms of tradeoffs vary across countries, depending on relative economic fluctuations and inflation differentials. Asia, therefore, can potentially enhance risk sharing without raising contagion risk
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The Asset Price Framework; A. Risk Sharing; B. Contagion; III. Measuring Risk Sharing from Bond Prices; A. Affine Term Structure Model; B. Estimation; 1. Affine Term Structure Model Fit; 2. Summary Statistics of mt+1; C. Risk Sharing Measures; 1 Log Stochastic Discount Factors; 3. Brandt Cochrane Santa-Clara (BCS) Indices; 4. BCS Over Sub-Periods; IV. Is There Tradeoff to Financial Integration?; A. Contagion Risks; 5. Contagion Matrix: Contagioni,j; B. Cost-Benefit Tradeoff to Integration
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (60 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781463949457

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