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[null,"1.","Record Nr.",null,"UNINA9910254665403321"]
[null,null,"Autore",null,"Guidolin Massimo"]
[null,null,"Titolo",null,"Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets : An Empirical Model / / by Massimo Guidolin, Viola Fabbrini, Manuela Pedio"]
[null,null,"Pubbl/distr/stampa",null,"London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2016"]
[null,null,"ISBN",null,"9781137561398"]
[{"$nulls":4},"1137561394"]
[null,null,"Edizione",null,"[1st ed. 2016.]"]
[null,null,"Descrizione fisica",null,"1 online resource (x, 131 pages) : illustrations"]
[null,null,"Disciplina",null,"338.5/422"]
[null,null,"Soggetti",null,"Business enterprises - Finance"]
[{"$nulls":4},"Finance"]
[{"$nulls":4},"Financial services industry"]
[{"$nulls":4},"Macroeconomics"]
[{"$nulls":4},"Corporate Finance"]
[{"$nulls":4},"Financial Economics"]
[{"$nulls":4},"Financial Services"]
[{"$nulls":4},"Macroeconomics and Monetary Economics"]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Bibliographic Level Mode of Issuance: Monograph"]
[null,null,null,"Nota di bibliografia","Includes bibliographical references (pages 124-129) and index."]
[null,null,"Nota di contenuto",null,"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."]
[null,null,null,"Sommario/riassunto","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-"]
[{"$nulls":4},"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."]