Systemic risk in carry-trade portfolios

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• 作者：Chih-Liang Liu^a ; ^{chlliu@yuntech.edu.tw} ; Hsin-Feng Yang^b ; ^{yanghsinfeng@gmail.com}
• 关键词：Carry trade ; Systemic contagion ; CoVaR model ; Financial crisis
• 刊名：Finance Research Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：20
• 期：Complete
• 页码：40-46
• 全文大小：329 K
• 卷排序：20

文摘

We explore the systemic contagion between carry trade portfolios and stock markets. A CoVaR model is adapted to measure systemic contagion which is defined as the tail risk conditional on extreme distress in other markets in excess of the norms of ordinary volatility-risk spillover. The evidence exhibits bilateral systemic contagion between carry-trade markets and stock markets in the U.S., European and Asia-Pacific regions. The systemic contagions are particularly severe during financial distress, like dot-com bubble and U.S. credit crisis.