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No contagion, only globalization and flight to quality

  • Marie Briere
  • Ariane Chapelle
  • Ariane Szafarz

In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities, government bonds, investment-grade corporate bonds, and high-yield corporate bonds, in four geographical zones. Overall, the results confirm the instability of correlations and point to a combination of globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact due to globalization.

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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 12-010.

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Length: 42 p.
Date of creation: Mar 2012
Date of revision:
Publication status: Published by:
Handle: RePEc:sol:wpaper:2013/113071
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