LEADER 04288nam 22008175 450 001 9910254665403321 005 20260310220533.0 010 $a9781137561398 010 $a1137561394 024 7 $a10.1007/978-1-137-56139-8 035 $a(CKB)3710000000542098 035 $a(EBL)4334192 035 $a(SSID)ssj0001572736 035 $a(PQKBManifestationID)16220780 035 $a(PQKBTitleCode)TC0001572736 035 $a(PQKBWorkID)14823712 035 $a(PQKB)10780693 035 $a(DE-He213)978-1-137-56139-8 035 $a(MiAaPQ)EBC4334192 035 $a(Au-PeEL)EBL4334192 035 $a(CaPaEBR)ebr11140488 035 $a(CaONFJC)MIL852478 035 $a(OCoLC)936875890 035 $a(PPN)228321980 035 $a(Perlego)3488638 035 $a(EXLCZ)993710000000542098 100 $a20160112d2016 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 10$aTransmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets $eAn Empirical Model /$fby Massimo Guidolin, Viola Fabbrini, Manuela Pedio 205 $a1st ed. 2016. 210 1$aLondon :$cPalgrave Macmillan UK :$cImprint: Palgrave Macmillan,$d2016. 215 $a1 online resource (x, 131 pages) $cillustrations 300 $aBibliographic Level Mode of Issuance: Monograph 311 0 $a9781349851027 311 0 $a1349851027 311 0 $a9781137561381 311 0 $a1137561386 320 $aIncludes bibliographical references (pages 124-129) and index. 327 $a1 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. 330 $aResearchers, 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. 606 $aBusiness enterprises$xFinance 606 $aFinance 606 $aFinancial services industry 606 $aMacroeconomics 606 $aCorporate Finance 606 $aFinancial Economics 606 $aFinancial Services 606 $aMacroeconomics and Monetary Economics 615 0$aBusiness enterprises$xFinance. 615 0$aFinance. 615 0$aFinancial services industry. 615 0$aMacroeconomics. 615 14$aCorporate Finance. 615 24$aFinancial Economics. 615 24$aFinancial Services. 615 24$aMacroeconomics and Monetary Economics. 676 $a338.5/422 700 $aGuidolin$b Massimo$4aut$4http://id.loc.gov/vocabulary/relators/aut$0146826 702 $aFabbrini$b Viola$f1990-$4aut$4http://id.loc.gov/vocabulary/relators/aut 702 $aPedio$b Manuela$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910254665403321 996 $aTransmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets$92261658 997 $aUNINA