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

Released on by Ms.Franziska Ohnsorge
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  • Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices Book Detail

  • Author : Ms.Franziska Ohnsorge
  • Release Date : 2014-05-09
  • Publisher : International Monetary Fund
  • Genre : Business & Economics
  • Pages : 45
  • ISBN 13 : 1484381580
  • File Size : 95,95 MB
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Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices by Ms.Franziska Ohnsorge PDF Summary

Book 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.

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