04288nam 22008175 450 991025466540332120260310220533.09781137561398113756139410.1007/978-1-137-56139-8(CKB)3710000000542098(EBL)4334192(SSID)ssj0001572736(PQKBManifestationID)16220780(PQKBTitleCode)TC0001572736(PQKBWorkID)14823712(PQKB)10780693(DE-He213)978-1-137-56139-8(MiAaPQ)EBC4334192(Au-PeEL)EBL4334192(CaPaEBR)ebr11140488(CaONFJC)MIL852478(OCoLC)936875890(PPN)228321980(Perlego)3488638(EXLCZ)99371000000054209820160112d2016 u| 0engur|n|---|||||rdacontentrdamediardacarrierTransmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets An Empirical Model /by Massimo Guidolin, Viola Fabbrini, Manuela Pedio1st ed. 2016.London :Palgrave Macmillan UK :Imprint: Palgrave Macmillan,2016.1 online resource (x, 131 pages) illustrationsBibliographic Level Mode of Issuance: Monograph9781349851027 1349851027 9781137561381 1137561386 Includes bibliographical references (pages 124-129) and index.1 The Background: Channels of Contagion in the US Financial Crisis; 2 Methodology; 3 The Data; 4 Estimates of Single-State VAR Models; 5 Results from Markov Switching Models; 6 Estimating and Disentangling the Contagion Channels; 7 Comparing the US and European Contagion Experiences; 8 Conclusions.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.Business enterprisesFinanceFinanceFinancial services industryMacroeconomicsCorporate FinanceFinancial EconomicsFinancial ServicesMacroeconomics and Monetary EconomicsBusiness enterprisesFinance.Finance.Financial services industry.Macroeconomics.Corporate Finance.Financial Economics.Financial Services.Macroeconomics and Monetary Economics.338.5/422Guidolin Massimoauthttp://id.loc.gov/vocabulary/relators/aut146826Fabbrini Viola1990-authttp://id.loc.gov/vocabulary/relators/autPedio Manuelaauthttp://id.loc.gov/vocabulary/relators/autMiAaPQMiAaPQMiAaPQBOOK9910254665403321Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets2261658UNINA