标题: | Interest rate risk propagation: Evidence from the credit crunch |
作者: | Yang, Hsin-Feng Liu, Chih-Liang Chou, Ray Yeutien 经营管理研究所 Institute of Business and Management |
关键字: | Risk contagion;CoVaR;Liquidity risk;Credit risk;Financial crisis |
公开日期: | 1-四月-2014 |
摘要: | During the 2007-2009 financial crisis, US subprime mortgage risk exposures led to severe liquidity problems in several other foreign markets. Such risk contagion was caused by enormous changes in interest rates. Although risk contagion has been investigated by several literatures, the magnitude of propagated interest rate risk around global financial markets remains unexplored. Therefore, this study quantifies the degree to which the increased credit risk within the US financial system propagated to the European markets' liquidity risks. Specifically, using a conditional value-at-risk (CoVaR) model, we quantitatively measure interest rate risk of a European country, by looking at the upside risk in distribution of changes in interest rate. And such propagation risk measure considers additional value-at-risk conditional on the interest rate movements in the US. The results show significantly positive differences between European country's value-at-risk conditional on the US financial markets being in a normal or distressed state. This propagating effect increased from 2007, and was particularly pronounced in the 2008-2009. In addition, the interest rate risk contagion is especially severe for some countries in the Euro regions with greater sovereign debt problems. Hence our result foretells the deterioration of the European sovereign debt crisis which started to unfold in 2010. Our work supplements the literature by successfully quantifying the magnitude of additional interest rate risk conditional on risk exposure from external sectors. (C) 2014 Elsevier Inc. All rights reserved. |
URI: | http://dx.doi.org/10.1016/j.najef.2014.03.010 http://hdl.handle.net/11536/147692 |
ISSN: | 1062-9408 |
DOI: | 10.1016/j.najef.2014.03.010 |
期刊: | NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE |
Volume: | 28 |
起始页: | 242 |
结束页: | 264 |
显示于类别: | Articles |