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The Destruction of a Safe Haven Asset?
Baur, Dirk G; Glover, Kristoffer - Finance Discipline Group, Business School - 2012
Gold has been a store of value for centuries and a safe haven for investors in the past decades. However, the increased investment in gold for speculative or hedging purposes has changed the safe haven property. We demonstrate theoretically and empirically that investor behaviour has the...
Persistent link: https://www.econbiz.de/10010752827
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The Structure and Degree of Dependence - A Quantile Regression Approach
Baur, Dirk G - Finance Discipline Group, Business School - 2012
The copula function defines the degree of dependence and the structure of dependence. This paper proposes an alternative framework to decompose the dependence using quantile regression. It is demonstrated that the methodology provides a detailed picture of dependence including asymmetric and...
Persistent link: https://www.econbiz.de/10010752830
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Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
Dungey, Mardi; Milunovich, George; Thorp, Susan; Yang, … - Finance Discipline Group, Business School - 2012
Detecting contagion during financial crises requires demarcation of crisis periods. This paper presents a method for … endogenous dating of both the start and finish of crises, coupled with the statistical detection of contagion effects. We couple … crisis, and particularly contagion from equity markets to REITS. The post-crisis period has not returned to pre …
Persistent link: https://www.econbiz.de/10010643368
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The Stock Market, the Real Economy and Contagion
Baur, Dirk G; Miyakawa, Isaac - Finance Discipline Group, Business School - 2014
implying “macro-financial” contagion. The crisis-specific analysis of macro-financial linkages broadens the perspective of … existing studies of financial contagion. Our findings indicate that the stock market does not merely reflect future economic …
Persistent link: https://www.econbiz.de/10010883508
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Using Synthetic Data to Measure the Impact of RTGS on Systemic Risk in the Australian Payments System
Docherty, Peter; Wang, G - Finance Discipline Group, Business School - 2006
This paper examines the possibility that financial contagion may be spread from one bank to another via the Australian …
Persistent link: https://www.econbiz.de/10005073701
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Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds
Cayon, Edgardo; Thorp, Susan - Finance Discipline Group, Business School - 2013
contagious transmissions during financial crises. This paper analyses contagion from US equity markets to emerging market … autarchic assets (Colombian private pension funds) during the recent financial crises. We test for contagion as changes in … systematic risk between financial asset returns using an M-GARCH framework, where the S&P500 is the source of contagion to the …
Persistent link: https://www.econbiz.de/10010883493