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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