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Jana Gieck

1 October 2012
WORKING PAPER SERIES - No. 1480
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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