Modelling Financial Markets Comovements during Crises: A Dynamic Multi-Factor Approach
Modelling Financial Markets Comovements during Crises: A Dynamic Multi-Factor Approach
复制标题
危机期间金融市场联动建模：动态多因素方法
DOI：
10.1108/s0731-905320150000035008
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
G. Urga
中科院分区：
文献类型：
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作者：
M. Belvisi;R. Pianeti;G. Urga
版权所有(C)2016年，Emerald Group出版有限公司。我们提出了一个新的动态因素模型来刻画来自不同国家不同资产类别的证券收益之间的变动。我们应用了全球类别-国家潜在因素模型，并允许随时间变化的负载。我们能够将传染(资产敞口驱动)和过度相互依赖(要素波动性驱动)分开。使用1999年至2012年的数据，我们发现了2007-2009年金融危机期间美国股市传染的证据，以及2010年5月以后欧洲债务危机期间过度相互依赖的证据。当使用模型隐含补偿的平均度量时，既没有发现传染，也没有发现过度的相互依赖。
Copyright © 2016 by Emerald Group Publishing Limited. We propose a novel dynamic factor model to characterise comovements between returns on securities from different asset classes from different countries. We apply a global-class-country latent factor model and allow time-varying loadings. We are able to separate contagion (asset exposure driven) and excess interdependence (factor volatility driven). Using data from 1999 to 2012, we find evidence of contagion from the US stock market during the 2007-2009 financial crisis, and of excess interdependence during the European debt crisis from May 2010 onwards. Neither contagion nor excess interdependence is found when the average measure of model implied comovements is used.