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Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets = An Empirical Model /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets/ by Massimo Guidolin, Viola Fabbrini, Manuela Pedio.
Reminder of title:	An Empirical Model /
Author:	Guidolin, Massimo.
other author:	Fabbrini, Viola.
Description:	X, 131 p.online resource. :
Contained By:	Springer Nature eBook
Subject:	Business enterprises—Finance. -
Online resource:	https://doi.org/10.1007/978-1-137-56139-8
ISBN:	9781137561398

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets = An Empirical Model /
Guidolin, Massimo.

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed MarketsAn Empirical Model /[electronic resource] :by Massimo Guidolin, Viola Fabbrini, Manuela Pedio. - 1st ed. 2016. - X, 131 p.online resource.

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.

ISBN: 9781137561398

Standard No.: 10.1007/978-1-137-56139-8doiSubjects--Topical Terms:

1253877
Business enterprises—Finance.

LC Class. No.: HG4001-4285

Dewey Class. No.: 658.15

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets = An Empirical Model /
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