Rungcharoenkitkul, Phurichai.
Risk Sharing and Financial Contagion in Asia An Asset Price Perspective / Phurichai Rungcharoenkitkul. [electronic resource] : Phurichai Rungcharoenkitkul. - Washington, D.C. : International Monetary Fund, 2011. - 1 online resource (41 p.) - IMF Working Papers; Working Paper ; No. 11/242 . - IMF Working Papers; Working Paper ; No. 11/242 .
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.
1463922639 : 18.00 USD
1018-5941
10.5089/9781463922634.001 doi
Affine Term Structure Model
Bond
Contagion
Financial Aspects of Economic Integration
Financial Contagion
Risk Sharing
China, People's Republic of
Hong Kong Special Administrative Region of China
Risk Sharing and Financial Contagion in Asia An Asset Price Perspective / Phurichai Rungcharoenkitkul. [electronic resource] : Phurichai Rungcharoenkitkul. - Washington, D.C. : International Monetary Fund, 2011. - 1 online resource (41 p.) - IMF Working Papers; Working Paper ; No. 11/242 . - IMF Working Papers; Working Paper ; No. 11/242 .
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.
1463922639 : 18.00 USD
1018-5941
10.5089/9781463922634.001 doi
Affine Term Structure Model
Bond
Contagion
Financial Aspects of Economic Integration
Financial Contagion
Risk Sharing
China, People's Republic of
Hong Kong Special Administrative Region of China