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Risk Sharing and Financial Contagion in Asia
Mr.Phurichai Rungcharoenkitkul
其他書名
An Asset Price Perspective
出版
International Monetary Fund
, 2011-10-01
主題
Business & Economics / Finance / General
Business & Economics / Economics / Macroeconomics
ISBN
1463922639
9781463922634
URL
http://books.google.com.hk/books?id=NJgYEAAAQBAJ&hl=&source=gbs_api
EBook
SAMPLE
註釋
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.