Hidden Bibliographic Details
| Other authors / contributors: | Wolski, Marcin, 1988- author.
Zhang, Yuanyan Sophia, author.
International Monetary Fund. Strategy, Policy, and Review Department, issuing body.
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| ISBN: | 9781484382394
1484382390
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| Notes: | "Strategy, Policy and Review"--Page 2 of pdf.
"May 2014"--Page 2 of pdf.
Includes bibliographical references.
Online resource; title from pdf title page (IMF.org Web site, viewed June 6, 2014).
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| Summary: | "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.
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