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Activity Number:
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610
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Type:
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Contributed
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Date/Time:
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Thursday, August 6, 2009 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #305203 |
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Title:
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Contagion, Confusion, and the Panic of 2008
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Author(s):
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David J. Hamrick*+
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Companies:
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Boston University
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Address:
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95 Park Drive Apt. 21, Boston, MA, 02215-5266,
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Keywords:
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contagion ; confusion ; nonparametric regression ; local correlation ; Panic of 2008 ; measures of dependence
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Abstract:
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Are different slices of fixed income markets more dependent during times of crisis than during normal times? We call this increase in dependence during times of crisis credit contagion, and define this concept through a local correlation function very similar to the usual correlation coefficient. Surprisingly, an analysis of bond yield spreads and credit default swap premia suggests that fixed income markets have not experienced credit contagion during crises like the Panic of 2008. Instead, these measures of credit risk have tended to become less correlated or even conditionally uncorrelated during crises---a concept we call credit confusion.
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- Authors who are presenting talks have a * after their name.
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