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Guidolin / Fabbrini / Pedio

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

An Empirical Model

Medium: Buch
ISBN: 978-1-137-56138-1
Verlag: Palgrave MacMillan UK
Erscheinungstermin: 12.11.2015
Lieferfrist: bis zu 10 Tage

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.


Produkteigenschaften


  • Artikelnummer: 9781137561381
  • Medium: Buch
  • ISBN: 978-1-137-56138-1
  • Verlag: Palgrave MacMillan UK
  • Erscheinungstermin: 12.11.2015
  • Sprache(n): Englisch
  • Auflage: 2016. Auflage 2015
  • Produktform: Gebunden
  • Gewicht: 2863 g
  • Seiten: 131
  • Format (B x H x T): 140 x 216 x 13 mm
  • Ausgabetyp: Kein, Unbekannt
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