Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets : An Empirical Model / / by Massimo Guidolin, Viola Fabbrini, Manuela Pedio

• Autore: Guidolin Massimo
• Pubblicazione: London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2016
• Edizione: 1st ed. 2016.
• Descrizione fisica: 1 online resource (x, 131 pages) : illustrations
• Disciplina: 338.5/422
• Soggetto topico: Business enterprises - Finance; Finance; Financial services industry; Macroeconomics; Corporate Finance; Financial Economics; Financial Services; Macroeconomics and Monetary Economics
• Persona (resp. second.): FabbriniViola <1990->; PedioManuela
• Note generali: Bibliographic Level Mode of Issuance: Monograph
• Nota di bibliografia: Includes bibliographical references (pages 124-129) and index.
• Nota di contenuto: 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.
• 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-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.
• Titolo autorizzato: Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets
• ISBN: 9781137561398; 1137561394
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910254665403321
• Lo trovi qui: Univ. Federico II