【主题】Extreme Risk Spillovers Between Stock-bond Markets
【报告人】Cathy Qiao Ning（副教授，加拿大多伦多都市大学）
【时间】2023年5月19日周五上午10:00-11:30
【地点】经济学院701会议室
【语言】英文
【摘要】This paper investigates downside/upside risk spillovers between bond and stock markets. We employ a dependence-switching copula model, which allows for both positive and negative dependence and, more importantly, the transitions between them. We estimate the downside and upside Value-at-Risk (VaR) and Conditional Value-at-Risk (CoVaR) to examine the extreme risk spillovers between the two markets. Using weekly data from January 1985 to August 2022 for the USA, Canada, France, and Germany, we find evidence of extreme risk spillovers from stock to bond markets and vice versa. We further find that the downside and upside risk spillovers are predominately asymmetric, with the downside risk spillovers being greater than the upside risk spillovers. Also, the risk spillover from the bond to the stock market is more significant than the spillover from the opposite direction. Our findings are important for risk management.
【报告人简介】 Cathy Qiao Ning, 现为加拿大多伦多都市大学经济学副教授，主要研究金融计量经济学、风险管理与实证金融学。早年曾在上海财经大学学习工作7年，后赴加拿大从事经济学研究。