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

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.

General

Imprint:	Palgrave Macmillan
Country of origin:	United Kingdom
Release date:	November 2015
First published:	2016
Authors:	Massimo Guidolin • Viola Fabbrini • Manuela Pedio
Dimensions:	216 x 140 x 18mm (L x W x T)
Format:	Hardcover
Pages:	131
Edition:	1st ed. 2016
ISBN-13:	978-1-137-56138-1
Categories:	Books > Business & Economics > Economics > Financial crises & disasters Books > Business & Economics > Finance & accounting > Finance > Corporate finance Books > Business & Economics > Finance & accounting > Finance > Investment & securities > Stocks & shares Books > Money & Finance > Corporate finance Books > Money & Finance > Investment & securities > Stocks & shares
LSN:	1-137-56138-6
Barcode:	9781137561381

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