Read Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

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Description:We create a network of bilateral correlations of changes in sovereign bond yields and individual bank equity price changes since 2000. We extract some stylized facts from this network of asset price correlations and document the clear differences in asset price correlations between safe havens and non-safe havens: safe havens, as commonly defined, have higher sovereign-sovereign, bank-bank, and bank-sovereign correlations than nonsafe havens. In a simple shock propagation model, we illustrate how these higher correlations may turn safe havens into shock propagators. While we discuss safe havens as a group, we document how the US is in a category of its own, differing significantly from the other countries including Switzerland or Japan. Separately, we find that feedback loops amplify shocks, and those emanating from bank stress more than those emanating from sovereign stress.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices. To get started finding Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices, you are right to find our website which has a comprehensive collection of manuals listed.
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Pages: 45

Format: PDF, EPUB & Kindle Edition

Publisher: International Monetary Fund

Release: 2014

ISBN: 1484381890

Description: We create a network of bilateral correlations of changes in sovereign bond yields and individual bank equity price changes since 2000. We extract some stylized facts from this network of asset price correlations and document the clear differences in asset price correlations between safe havens and non-safe havens: safe havens, as commonly defined, have higher sovereign-sovereign, bank-bank, and bank-sovereign correlations than nonsafe havens. In a simple shock propagation model, we illustrate how these higher correlations may turn safe havens into shock propagators. While we discuss safe havens as a group, we document how the US is in a category of its own, differing significantly from the other countries including Switzerland or Japan. Separately, we find that feedback loops amplify shocks, and those emanating from bank stress more than those emanating from sovereign stress.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices. To get started finding Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

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