Risk sharing versus financial contagion in Asia: An asset price perspective
| Autor: | Phurichai Rungcharoenkitkul |
|---|---|
| Rok vydání: | 2012 |
| Předmět: |
Inflation
Risk sharing Economics and Econometrics Contagion Financial contagion media_common.quotation_subject Perspective (graphical) Financial integration Monetary economics lcsh:HD72-88 lcsh:Economic growth development planning Identification (information) lcsh:Finance lcsh:HG1-9999 Affine term structure model Economics Asset (economics) Construct (philosophy) Finance media_common |
| Zdroj: | Review of Development Finance, Vol 2, Iss 3, Pp 101-117 (2012) |
| ISSN: | 1879-9337 |
| DOI: | 10.1016/j.rdf.2012.09.004 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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