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No contagion, only globalization and flight to quality

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dul-0058.pdf (339.7Kb)
Date
2012
Dewey
Economie financière
Sujet
flight to quality; globalization; Contagion; international financial markets
JEL code
F.F3.F36; F.F2.F21; G.G1.G11; G.G1.G15; G.G1.G10; C.C1.C12; C.C1.C18
Journal issue
Journal of International Money and Finance
Volume
31
Number
6
Publication date
2012
Article pages
1729-1744
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.jimonfin.2012.03.010
URI
https://basepub.dauphine.fr/handle/123456789/7746
Collections
  • LEDa : Publications
Metadata
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Author
Brière, Marie
status unknown
Chapelle, Ariane
218169 Université Libre de Bruxelles
Szafarz, Ariane
104113 Département d'économie appliquée de l'université libre de Bruxelles [Dulbéa]
Type
Article accepté pour publication ou publié
Abstract (EN)
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, and corporate bonds – investment grade and high yield – 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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