Transmission channels of financial shocks to stock, bond, and asset-backed markets [electronic resource] : an empirical model / Viola Fabbrini, Massimo Guidolin and Manuela Pedio.
2016
HB3722 .F33 2016eb
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Title
Transmission channels of financial shocks to stock, bond, and asset-backed markets [electronic resource] : an empirical model / Viola Fabbrini, Massimo Guidolin and Manuela Pedio.
ISBN
9781137561398 (electronic book)
1137561394 (electronic book)
9781137561381
1137561386
1137561408
1137561394 (electronic book)
9781137561381
1137561386
1137561408
Published
Basingstoke, Hampshire : Palgrave Macmillan, 2016.
Language
English
Description
1 online resource (x, 131 pages) : illustrations.
Call Number
HB3722 .F33 2016eb
Dewey Decimal Classification
338.5/42
Summary
Researchers, policymakers and commentators have long debated the patterns through which adverse shocks in a few markets may quickly spread to a range of apparently disconnected financial markets causing widespread losses and turmoil. This book uses modern linear and non-linear econometric methods to characterize how shocks to the yield of risky fixed income securities, such as sub-prime asset-backed or low-credit rating sovereign bonds, are transmitted to the yields in other markets. These include equity and corporate bond markets as well as relatively risk-free fixed income securities, such as highly rated asset-backed securities and sovereign bonds from core Eurozone countries. The authors analyse and compare the results from linear and non-linear models to identify and assess four distinct contagion channels characterizing both US and European financial markets. These include the correlated information, risk premium, flight-to-liquidity, and flight-to quality channels. The results of this study support the theory that both investors and policy-makers ought to pay special attention to liquidity and commonalities in the perceptions of the probabilities of default, as channels through which financial shocks propagate.
Bibliography, etc. Note
Includes bibliographical references (pages 124-129) and index.
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Description based on print version record.
Added Author
Guidolin, Massimo, author.
Pedio, Manuela, author.
Pedio, Manuela, author.
Series
Palgrave pivot.
Available in Other Form
Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets : An Empirical Model.
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Table of Contents
Cover; Half-Title; Title; Copyright; Contents; List of Figures; List of Tables; Preface; 1 The Background: Channels of Contagion in the US Financial Crisis; 2 Methodology; 3 The Data; 4 Estimates of Single-State VAR Models; 5 Results from Markov Switching Models; 6 Estimating and Disentangling the Contagion Channels; 7 Comparing the US and European Contagion Experiences; 8 Conclusions; References; Index.