计量经济分析 = Econometric analysis

A year ago, we presented a historical analysis comparing the run-up to the 2007 US subprime financial crisis with the antecedents of other banking crises in advanced economies since World War II (Reinhart and Rogoff 2008a ). We showed that standard indicators for the United States, such as asset price inflation, rising lever age, large sustained current account deficits, and a slowing trajectory of economic growth, exhibited virtually all the signs of a country on the verge of a financial crisis—indeed, a severe one. In this paper, we engage in a similar com

/pdf/the-aftermath-of-financial-crises-1a163me31p.pdf

The Aftermath of Financial Crises

This paper presents an overview of the literature on applications of copulas in the modelling of financial time series. Copulas have been used both in multivariate time series analysis, where they are used to characterize the (conditional) cross-sectional dependence between individual time series, and in univariate time series analysis, where they are used to characterize the dependence between a sequence of observations of a scalar time series process. The paper includes a broad, brief, review of the many applications of copulas in finance and economics.

/pdf/copula-based-models-for-financial-time-series-406hs3n9z7.pdf

Copula-Based Models for Financial Time Series

Modelling oil price and exchange rate co-movements

Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors

The viability of international diversification involves balancing benefits and costs. This balance hinges on the degree of asset dependence. In light of theoretical research linking diversification and dependence, we examine international diversification using two measures of dependence: correlations and copulas. We document several findings. First, dependence has increased over time. Second, we find evidence of asymmetric dependence or downside risk in Latin America, but less in the G5. The results indicate very little downside risk in East Asia. Third, East Asian and Latin American returns exhibit some correlation complexity. Interestingly, the regions with maximal dependence or worst diversification do not command large returns. Our results suggest international limits to diversification. They are also consistent with a possible tradeoff between international diversification and systemic risk.

/pdf/international-diversification-a-copula-approach-37p2aj8mvv.pdf

International diversification: A copula approach

International diversification has costs and benefits, depending on the degree of asset dependence. We study international diversification with two dependence measures: correlations and extreme dependence. We discover that dependence has typically increased over time, and document mixed evidence on heavy tails in individual countries. Moreover, we uncover three additional findings related to dependence. First, the timing of downside risk differs depending on the region. Surprisingly, recent Latin American returns exhibit little downside risk. Second, Latin America exhibits a great deal of correlation complexity. Third, according to the empirical results, correlation does not vary with returns, but extreme dependence does vary monotonically with regional returns. Our results are consistent with a tradeoff between international diversification and systemic risk. They also suggest international limits to diversification, and that international investors demand some compensation for joint downside risk during extreme events.

International diversification: An extreme value approach.

Do developed and emerging markets move together more in downturns than in upturns? In order to address this question, we estimate the structure of dependence in international stock markets, using various parametric copulas. Moreover, we nest symmetric and asymmetric dependence using a novel mixture model approach. Our two most significant findings are as follows. First, for G5 countries, asymmetric dependence dominates the model. Second, and more surprisingly, for Latin American and Asian countries, there is mixed evidence on asymmetry of dependence. In sum, our results suggest the interesting interpretation that developed and developing economies differ in their exposure to downside risk, with developing economies having potentially less downside risk.

Comovement of International Financial Markets

Contrary to the usual practice of including a size premium in a small firm's cost-of-equity estimation, this paper shows that there should not be such a premium in the long run because firm size is a changing characteristic. By tracking the return performance of firms in the same size group for a longer horizon, I find that the size premium wears off just after two years. This is much shorter than the general assumption used in the cost-of-equity estimation, so the role of the size premium in it should be reconsidered.

The Size Premium in the Long Run

International Diversification: An Extreme Value Approach

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