Transmission Channels of Financial Shocks to Stock Bond and Asset Backed Markets An Empirical Model 1st edition by Massimo Guidolin, Viola Fabbrini, Manuela Pedio ISBN B017V90NQ8 978-1137561398

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Product details:

ISBN 10: B017V90NQ8
ISBN 13: 978-1137561398
Author: Massimo Guidolin, Viola Fabbrini, Manuela Pedio 

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.

Transmission Channels of Financial Shocks to Stock Bond and Asset Backed Markets An Empirical Model 1st Table of contents:

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

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Tags: Massimo Guidolin, Viola Fabbrini, Manuela Pedio, Transmission Channels, Asset Backed