Safe havens, feedback loops, and shock propagation in global asset prices /
Saved in:
| Author / Creator: | Ohnsorge, Franziska, author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2014. |
| Description: | 1 online resource (45 pages) : color illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/14/81 IMF working paper ; WP/14/81. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12502918 |
MARC
| LEADER | 00000cam a2200000Ia 4500 | ||
|---|---|---|---|
| 001 | 12502918 | ||
| 006 | m o d | ||
| 007 | cr ||||||||||| | ||
| 008 | 140606s2014 dcua ob i000 0 eng d | ||
| 005 | 20240822221817.8 | ||
| 020 | |a 9781484382394 | ||
| 020 | |a 1484382390 | ||
| 035 | 9 | |a (OCLCCM-CC)881126227 | |
| 035 | |a (OCoLC)881126227 | ||
| 040 | |a DJB |b eng |e pn |c DJB |d EBLCP |d DJB |d DEBSZ |d OCLCF |d OCLCQ |d YDXCP |d OCLCQ |d MERUC |d OCLCA |d CEF |d AU@ |d OCLCQ |d CUS |d VT2 |d OCLCQ |d OCLCO | ||
| 049 | |a MAIN | ||
| 050 | 4 | |a HG3881.5.I58 |b W67 No. 14/81eb | |
| 100 | 1 | |a Ohnsorge, Franziska, |e author. |0 http://id.loc.gov/authorities/names/no2003014607 | |
| 245 | 1 | 0 | |a Safe havens, feedback loops, and shock propagation in global asset prices / |c Franziska Ohnsorge, Marcin Wolski, and Y. Sophia Zhang. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2014. | ||
| 300 | |a 1 online resource (45 pages) : |b color illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/14/81 | |
| 500 | |a "Strategy, Policy and Review"--Page 2 of pdf. | ||
| 500 | |a "May 2014"--Page 2 of pdf. | ||
| 520 | |a "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"--Abstract. | ||
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Online resource; title from pdf title page (IMF.org Web site, viewed June 6, 2014). | |
| 505 | 0 | |a Cover; Abstract; Contents; I. Introduction; II. Data; III. Stylized Facts; IV. Mapping the Network of Sovereign Bond Yields and Bank Equity Prices; V. Defining Safe Havens; VI. Modeling Shock Propagation; A. Baseline Results; B. Feedback Loops in Shock Propagation; C. The Role of Safe Havens in Shock Propagation; VII. Conclusions and Issues for Further Research; Appendix I: Shock Propagation Mechanism. | |
| 650 | 0 | |a Debts, Public. |0 http://id.loc.gov/authorities/subjects/sh85036141 | |
| 650 | 0 | |a Bonds. |0 http://id.loc.gov/authorities/subjects/sh85015509 | |
| 650 | 0 | |a Financial crises. | |
| 650 | 6 | |a Dettes publiques. | |
| 650 | 6 | |a Obligations (Valeurs) | |
| 650 | 7 | |a bonds (negotiable instruments) |2 aat | |
| 650 | 7 | |a Bonds. |2 fast |0 (OCoLC)fst00835887 | |
| 650 | 7 | |a Debts, Public. |2 fast |0 (OCoLC)fst00888850 | |
| 650 | 7 | |a Financial crises. |2 fast |0 (OCoLC)fst00924607 | |
| 655 | 0 | |a Electronic books. | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Wolski, Marcin, |d 1988- |e author. |0 http://id.loc.gov/authorities/names/no2014081820 | |
| 700 | 1 | |a Zhang, Yuanyan Sophia, |e author. |0 http://id.loc.gov/authorities/names/no2011119217 | |
| 710 | 2 | |a International Monetary Fund. |b Strategy, Policy, and Review Department, |e issuing body. |0 http://id.loc.gov/authorities/names/no2009043117 | |
| 830 | 0 | |a IMF working paper ; |v WP/14/81. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2014/081/001.2014.issue-081-en.xml |y INTERNATIONAL MONETARY FUND |
| 929 | |a oclccm | ||
| 999 | f | f | |i ceda5262-1815-5e06-b2d4-048254cfacb8 |s a1bef2ad-2243-5ce8-8484-c05bdafebe7e |
| 928 | |t Library of Congress classification |a HG3881.5.I58W67 No. 14/81eb |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/2014/081/001.2014.issue-081-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 12147205 | ||