Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

An Empirical Model

Business & Finance, Finance & Investing, Corporate Finance, Finance
Cover of the book Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets by Massimo Guidolin, Viola Fabbrini, Manuela Pedio, Palgrave Macmillan UK
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Massimo Guidolin, Viola Fabbrini, Manuela Pedio ISBN: 9781137561398
Publisher: Palgrave Macmillan UK Publication: November 12, 2015
Imprint: Palgrave Macmillan Language: English
Author: Massimo Guidolin, Viola Fabbrini, Manuela Pedio
ISBN: 9781137561398
Publisher: Palgrave Macmillan UK
Publication: November 12, 2015
Imprint: Palgrave Macmillan
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Palgrave Macmillan UK

Cover of the book Gender in Transitional Justice by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book Revealing and Concealing Gender by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book Debating Race in Contemporary India by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book Toys and Communication by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book Linguistic Fieldwork by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book 3D Printing for Development in the Global South by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book The Philosophy of Conspiracy Theories by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book Women and Transitional Justice by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book Spatialising Peace and Conflict by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book The European Minority Rights Regime by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book A Theory of Truces by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book American Sociology by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book Rationality, Representation, and Race by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book Women In Business by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Cover of the book Globalization and Social Transformation in the Asia-Pacific by Massimo Guidolin, Viola Fabbrini, Manuela Pedio
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy