Cross-ownership as a structural explanation for rising correlations in crisis times

Autoři

ARANEDA Axel A. BERTSCHINGER Nils

Rok publikování 2021
Druh Výzkumná zpráva
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

www https://arxiv.org/abs/2112.04824
Popis In this paper, we examine the interlinkages among firms through a financial network where cross-holdings on both equity and debt are allowed. We relate mathematically the correlation among equities with the unconditional correlation of the assets, the values of their business assets and the sensitivity of the network, particularly the ?-Greek. We noticed also this relation is independent of the Equities level. Besides, for the two-firms case, we analytically demonstrate that the equities correlation is always higher than the correlation of the assets; showing this issue by numerical illustrations. Finally, we study the relation between equity correlations and asset prices, where the model arrives to an increase in the former due to a fall in the assets.

Používáte starou verzi internetového prohlížeče. Doporučujeme aktualizovat Váš prohlížeč na nejnovější verzi.