Systemic Risk between Carry Trade and Stock Market
Journal: Theoretical Economics Letters
Year: 2021

In this paper, we exploit the impacts of extreme asset prices (high-low ranges) on multiple horizons and use a conditional value-at-risk (CoVaR) model to evaluate the degree of risk contagion between stock markets and carry-trade markets. We associate the systemic risk of a financial market with conditions in related markets during periods of crisis. The model can be empirically applied to diversified portfolio strategies, but the systemic risk involved is conditional on closely related financia