Analyzing the EU sovereign debt crisis by a new asymmetric copula with reversible correlations

ABSTRACT It is well known that a correlation between stock and bond returns had changed in the financial crisis. This paper analyzes it using a novel asymmetric copula. The proposed test is constructed from bivariate split normal distribution and can change correlation signs of upper and lower tails of distribution independently. It is shown that the stock–bond correlation of the EU periphery countries in the capital outflow period is asymmetric, in that it is higher in the lower tail than in the upper tail. The lower tail correlation is higher when capital outflowed than in the calm period. The lower tail correlation sign in the inflow period was at odds; Ireland, Italy and Spain had negative lower tail correlation. The correlation reversion of these three countries can be explained by the change of capital movement from inflow to outflow. In contrast, Germany had negative stock–bond correlation before and after the crisis.

**摘要**：众所周知，在金融危机中股票和债券收益之间的相关性发生了变化。本文使用一种新型的非对称 copula函数对其进行分析。所提出的检验是由二元分裂正态分布构建的，并且能够独立地改变分布上下尾部的相关符号。研究表明，在资本流出期间，欧盟外围国家的股票 - 债券相关性是非对称的，即下尾的相关性高于上尾。资本流出时的下尾相关性比平静时期更高。在资本流入期间，下尾相关性的符号不一致；爱尔兰、意大利和西班牙的下尾相关性为负。这三个国家相关性的逆转可以通过资本流动从流入到流出的变化来解释。相比之下，德国在危机前后的股票 - 债券相关性为负。