02042cas a2200265 a 4500 AALejournalIMF014385 230101c9999 xx r poo 0 0eng d 5.00 USD 9781484381588 1018-5941 BD-DhAAL BD-DhAAL Ohnsorge, Franziska. Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices / Franziska Ohnsorge, Marcin Wolski, Yuanyan Zhang. Washington, D.C. : International Monetary Fund, 2014. 1 online resource (45 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Wolski, Marcin. Zhang, Yuanyan. IMF Working Papers; Working Paper ; No. 2014/081 Full text available on IMF http://elibrary.imf.org/view/journals/001/2014/081/001.2014.issue-081-en.xml IMF e-Library