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Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets - An Empirical Model (Hardcover, 1st ed. 2016)
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Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets - An Empirical Model (Hardcover, 1st ed. 2016)
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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.
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