Bibliograph

Transmission channels of financial shocks to stock, bond, and asset-backed markets, an empirical model, Viola Fabbrini, Massimo Guidolin and Manuela Pedio

Type

Label

Transmission channels of financial shocks to stock, bond, and asset-backed markets, an empirical model, Viola Fabbrini, Massimo Guidolin and Manuela Pedio

Language

eng

Bibliography note

Includes bibliographical references (pages 124-29) and index

Illustrations

illustrations

Index

index present

Literary Form

non fiction

Main title

Transmission channels of financial shocks to stock, bond, and asset-backed markets

Nature of contents

bibliography

Oclc number

934233542

Responsibility statement

Viola Fabbrini, Massimo Guidolin and Manuela Pedio

Series statement

Palgrave pivot

Sub title

an empirical model

Summary

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.--, Provided by Publisher

Table Of Contents

Preface -- The background : channels of contagion in the US financial crisis -- Methodology -- The data -- Estimates of single-state VAR models -- Results from Markov Switching Models -- Estimating and disentangling the contagion channels -- Comparing the US and European contagion experiences -- Conclusions -- References -- Index

Contributor

Creator