Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets : An Empirical Model PDF
by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Description
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.
Information
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Download - Immediately Available
- Format:PDF
- Publisher:Palgrave Macmillan UK
- Publication Date:12/11/2015
- Category:
- ISBN:9781137561398
Other Formats
- Paperback / softback from £35.19
Information
-
Download - Immediately Available
- Format:PDF
- Publisher:Palgrave Macmillan UK
- Publication Date:12/11/2015
- Category:
- ISBN:9781137561398
