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• W2256535951 abstract "When aggregate consumption and risk factors exhibit asymmetric dependence, diversification becomes complicated and markets may face spillover risk between the real and financial sector. Moreover, empirical analyses based on second moments will not detect the true risk structure. We analyze dependence of US aggregate consumption and risk factors, using copulas. Interestingly for research on spillovers, we find evidence of downside dependence between consumption and industry risk, and between consumption and market and size factors. We discover significant dynamics in dependence between consumption and the size factor. Thus, consumption and financial risk may exhibit time variation in downside risk. Our results provide quantitative evidence on susceptibility of financial markets to diversification problems, and on spillover risk between real and financial sectors." @default.
• W2256535951 created "2016-06-24" @default.
• W2256535951 creator A5055653844 @default.
• W2256535951 creator A5086594802 @default.
• W2256535951 date "2012-10-01" @default.
• W2256535951 modified "2023-09-27" @default.
• W2256535951 title "Asymmetric Dependence between Aggregate Consumption and Financial Risk" @default.
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• W2256535951 hasPublicationYear "2012" @default.
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