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Interdependence and contagion in global asset markets

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  • Beirne, John
  • Gieck, Jana

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 Classification: F30, G15

Suggested Citation

  • Beirne, John & Gieck, Jana, 2012. "Interdependence and contagion in global asset markets," Working Paper Series 1480, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20121480
    Note: 733190
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    References listed on IDEAS

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    More about this item

    Keywords

    asset markets; contagion; global VAR;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

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