Series: IMF Working Papers
Author(s): Phurichai Rungcharoenkitkul
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 October 2011
Keywords: risk sharing, contagion, affine term structure model, financial contagion, stochastic discount, bond, Financial Aspects of Economic Integration,
This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identific...