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Jana Gieck

1 October 2012
WORKING PAPER SERIES - No. 1480
Interdependence and contagion in global asset markets
English
Details
Abstract
This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998 to 2011. Using a global VAR, we test for changes in the transmission mechanism
JEL Code
F30 : International Economics→International Finance→General
G15 : Financial Economics→General Financial Markets→International Financial Markets