Dependence Structure and Extreme Comovements in International Equity and Bond Markets
Dependence Structure and Extreme Comovements in International Equity and Bond Markets
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DOI：
10.2139/ssrn.891172
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发表时间：
2006-03
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影响因子：
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通讯作者：
Georges Tsafack Kemassong
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文献类型：
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作者：
Georges Tsafack Kemassong
熊市中的股票回报比牛市中的股票回报更依赖于股票回报。这种被称为不对称依赖性的现象在许多先前的研究中都有详细记录，包括 Erb 等人 (1994)、Longin 和 Solnik (2001)、Ang 和 Bekaert (2002)、Ang 和 Chen (2002)、Das 和 Uppal (2003)、Patton (2004) 及其参考文献。通过以与尾部依赖性等效的方式重新表述 Longin 和 Solnik (2001) 的极端超越相关结果，我们分析表明，基于正常创新的多元 GARCH 模型或政权切换 (RS) 模型无法重现这种不对称依赖性。我们提出了一种替代模型，该模型允许较低回报的尾部依赖性，并保持较高回报的尾部独立性。该模型应用于北美两个主要市场（美国和加拿大）和欧元区两个主要市场（法国和德国）两对国家的国际股票和债券市场，以调查其依赖结构。它包括一种依赖是对称的正常状态和一种以不对称依赖为特征的第二种状态。实证结果表明，即使在同一国家，股票和债券之间的依存度也较低，而同一类型的国际资产之间的依存度在两种制度下都较高。在非对称体制下，跨国依赖性特别大。这种现象可能是由于国际回报依赖性的非线性所致，其特征是存在多元正态分布尾部不存在的极端依赖性。汇率波动似乎是造成不对称依赖的一个因素。随着固定汇率的引入，法国和德国之间的依赖变得不那么不对称，并且比以前更加正常。汇率的高波动性与高度的不对称有关。蒙特卡罗测试证实了两国都存在不对称依赖。
Equity returns are more dependent in bear markets than in bull markets. This phenomenon known as asymmetric dependence is well documented in many previous studies including Erb et al (1994), Longin and Solnik (2001), Ang and Bekaert (2002), Ang and Chen (2002), Das and Uppal (2003), Patton (2004) and references therein. By reformulating the extreme exceedance correlation result of Longin and Solnik (2001) in an equivalent fashion as tail dependence, we show analytically that a multivariate GARCH model or a regime switching (RS) model based on normal innovations cannot reproduce this asymmetric dependence. We propose an alternative model which allows tail dependence for lower returns and keeps tail independence for upper returns. This model is applied to international equity and bond markets from two pairs of countries, the two leading markets in North-America (US and Canada) and two major markets of the Euro zone (France and Germany) to investigate their dependence structure. It includes one normal regime in which dependence is symmetric and a second regime characterized by asymmetric dependence. Empirical results show that the dependence between equities and bonds is low even in the same country, while the dependence between international assets of the same type is large in both regimes. The cross-country dependence is specially large in the asymmetric regime. This phenomenon possibly is due to the nonlinearity in dependence of international returns characterized by the presence of extreme dependence that is absent in the tail of a multivariate normal distribution. Exchange rate volatility seems to be a factor contributing to asymmetric dependence. With the introduction of a fixed exchange rate the dependence between France and Germany becomes less asymmetric and more normal than before. High exchange rate volatility is associated with a high level of asymmetry. Monte Carlo Tests confirm the presence of asymmetric dependence in both pairs of countries.