主 题：The dependence structure between the equity market and the foreign exchange market: Why it matters for global investments
内容简介： Understanding a dependence structure between an equity market and a foreign exchange market is economically important. However, less attention has been paid to its economic implications in the international finance. This motivates us to study those in the global investment. We characterize the dependence structure as “time-varying” and “asymmetric” from our empirical findings across the developed and emerging markets. We demonstrate that the modeling of dependence structure makes cross-market risk management more robust and asset allocation more optimal in the global investments. In particular, we find that this has become more important after crisis in the emerging markets.
时 间： 2017-09-19 14:30
举办单位： 经济与金融研究院 科研部