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Three essays on asymmetry and overre...

Kisselev, Kate.

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Three essays on asymmetry and overreaction in international asset markets.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Three essays on asymmetry and overreaction in international asset markets./
Author:	Kisselev, Kate.
Description:	129 p.
Notes:	Source: Dissertation Abstracts International, Volume: 64-10, Section: A, page: 3784.
Contained By:	Dissertation Abstracts International64-10A.
Subject:	Economics, History. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3110353

Three essays on asymmetry and overreaction in international asset markets.
Kisselev, Kate.

Three essays on asymmetry and overreaction in international asset markets. - 129 p.

Source: Dissertation Abstracts International, Volume: 64-10, Section: A, page: 3784.

Thesis (Ph.D.)--New York University, Graduate School of Business Administration, 2003.

Knowing the true dependence structure among assets is critical in assessing the riskiness of an investment, determining the benefits of diversification, or allocating a portfolio optimally. This dissertation presents evidence that correlation---the traditional measure of dependence among assets---may be misleading and it shows how other measures of dependence can better account for certain features of the asset return behavior. Copula theory is used to decompose the bivariate distribution of pairs of international equity returns into univariate marginal distributions---which may differ across assets---and a copula, which completely specifies the dependence structure across the univariate marginals. The copula parameters imply a value for tail dependence, which is the limiting probability that both returns will exceed some threshold. There is overwhelming evidence of tail dependence in both the positive and negative quadrants. More importantly, the tail dependence in the negative quadrants consistently exceeds that of the positive quadrants, though this difference is rarely statistically significant.Subjects--Topical Terms:

1017418
Economics, History.

Three essays on asymmetry and overreaction in international asset markets.
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100 1 $a Kisselev, Kate. $3 1951006
245 1 0 $a Three essays on asymmetry and overreaction in international asset markets.
300 $a 129 p.
500 $a Source: Dissertation Abstracts International, Volume: 64-10, Section: A, page: 3784.
500 $a Adviser: David Backus.
502 $a Thesis (Ph.D.)--New York University, Graduate School of Business Administration, 2003.
520 $a Knowing the true dependence structure among assets is critical in assessing the riskiness of an investment, determining the benefits of diversification, or allocating a portfolio optimally. This dissertation presents evidence that correlation---the traditional measure of dependence among assets---may be misleading and it shows how other measures of dependence can better account for certain features of the asset return behavior. Copula theory is used to decompose the bivariate distribution of pairs of international equity returns into univariate marginal distributions---which may differ across assets---and a copula, which completely specifies the dependence structure across the univariate marginals. The copula parameters imply a value for tail dependence, which is the limiting probability that both returns will exceed some threshold. There is overwhelming evidence of tail dependence in both the positive and negative quadrants. More importantly, the tail dependence in the negative quadrants consistently exceeds that of the positive quadrants, though this difference is rarely statistically significant.
520 $a The second chapter explores the theory behind the empirical finding that pairs of asset returns are more highly correlated when both returns are below-average than when both returns are above-average. While some theoretical work can partly explain this phenomenon, each of the existing models involves a fairly elaborate setup or introduces several financial market frictions. This chapter seeks the most parsimonious environment that can give rise to this asymmetry in asset returns, and it presents an economic model that shows how asymmetry can arise in a very simple macroeconomic setting under the assumption that markets are complete. The chapter goes on to show that the asymmetry can be slightly exacerbated by the introduction of frictions such as borrowing constraints.
520 $a The third chapter explores the economic implications of the substantial real exchange rate depreciations that usually accompany currency crises. This chapter investigates the mechanism by which the costs of depreciation are inflicted on a country, and it then measures one cost that is associated with depreciation: output loss. This chapter argues that "balance sheet effects" play a critical role in explaining post-crisis exchange rate behavior and output response. More specifically, the evidence suggests that a heavy external debt burden---and the need to hedge open foreign currency positions once a peg breaks---may be responsible for the overshooting of the exchange rate and stock prices that tend to follow the collapse of a peg. In turn, the currency overshooting interacts with foreign currency debt to induce substantial deteriorations in the balance sheets of firms, banks and governments. These balance sheet effects, along with fire sales of equity assets, then fuel an overall output contraction.
590 $a School code: 0868.
650 4 $a Economics, History. $3 1017418
650 4 $a Economics, Theory. $3 1017575
650 4 $a Economics, General. $3 1017424
690 $a 0509
690 $a 0511
690 $a 0501
710 2 0 $a New York University, Graduate School of Business Administration. $3 1025676
773 0 $t Dissertation Abstracts International $g 64-10A.
790 1 0 $a Backus, David, $e advisor
790 $a 0868
791 $a Ph.D.
792 $a 2003
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3110353