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Title: Government bonds as market stabilising forces Authors:  Anne-Florence Allard - University of Bristol (United Kingdom) [presenting]
Hamza Hanbali - Monash University (Australia)
Kristien Smedts - KU Leuven (Belgium)
Abstract: The dependence between extreme variations in stocks and government bonds are explored. The goal is to determine whether government bonds can dampen turbulences coming from their local stock market. To this end, copula functions are used and a new model is designed. The proposed model unravels significant differences in stock-bond comovement across countries. These differences are used to identify which government bonds act as a stabilising force and are better at stabilising financial markets.