Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model
tarafından
Fabbrini, Viola. author.
Başlık
:
Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model
Yazar
:
Fabbrini, Viola. author.
ISBN
:
9781137561398
Yazar
:
Fabbrini, Viola. author.
Fiziksel Niteleme
:
X, 131 p. online resource.
Özet
:
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.
Konu Başlığı
:
Business.
Business enterprises -- Finance.
Finance.
Corporations -- Finance.
Investment banking.
Securities.
Macroeconomics.
Business and Management.
Business Finance.
Finance, general.
Investments and Securities.
Corporate Finance.
Macroeconomics/Monetary Economics//Financial Economics.
Yazar Ek Girişi
:
Guidolin, Massimo.
Pedio, Manuela.
Ek Kurum Yazar
:
SpringerLink (Online service)
Elektronik Erişim
:
Materyal Türü | Barkod | Yer Numarası | Durumu/İade Tarihi |
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Electronic Book | 16213-1001 | HG4001 -HG4285 | Springer E-Book Collection |