Risk Sharing and Financial Contagion in Asia : An Asset Price Perspective

An Asset Price Perspective

Risk Sharing and Financial Contagion in Asia : An Asset Price Perspective
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... READ MORE...

Publication date: October 2011
ISBN 9781463922634
$18.00

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