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

Format:

Book

Government document

Author/Creator:

Rungcharoenkitkul, Phurichai.

Contributor:

International Monetary Fund.

Series:

IMF Working Papers; Working Paper ; No. 2011/242

IMF Working Papers

Language:

English

Subjects (All):

Financial risk management--Asia--Econometric models.

Financial risk management.

Asia--Economic integration.

Asia.

Physical Description:

1 online resource (60 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2011.

Language Note:

English

Summary:

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.

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

2. Risk-Return Tradeoff to Financial Integration3. Cost-benefit Tradeoffs: E.U., Japan, and NIEs; 4. Cost-benefit Tradeoffs: ASEAN4, China, India; V. Making Financial Integration Work for Asia; 6. Determinants of Intraregional Risk Sharing; VI. Conclusion; Appendix; A. Data; B. Adrian-Moench Procedure; References; Footnotes

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed September 27, 2014).

ISBN:

9786613864086

9781463944865

1463944861

9781463949457

1463949456

9781283551632

1283551632

9781463953393

1463953399