The Relative Importance of Global, Country and Sector Risks

Eric Girard ； Eurico Ferreira ； Amit Sinha

《Advances in Financial Planning and Forecasting》 3期 (2008/03) Pp. 93-125

https://doi.org/10.6292/AFPF.2008.03.05

並列摘要

We construct a state-dependent trivariate GARCH-M model to extract state-dependent risk-aversion coefficients around the 1997-1999 financial meltdown. These coefficients are further used to decompose sector risk into global (systematic), country-specific (diversifiable through global country allocation) and sector-specific (diversifiable through domestic sector allocation) risk measures. Our investigation shows that although the importance of country factors persists, diversification benefits arising from sector-based allocation have increased as a result of the Asian meltdown.

並列關鍵字

GARCH ； State-dependent ； Risk decomposition ； Risk decomposition ； Global economic sectors

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