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  E-mail Message: I thought you might be interested in this item at http://www.worldcat.org/oclc/941726001 Title: Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model Author: Viola Fabbrini; Massimo Guidolin; Manuela Pedio Publisher: London Palgrave Macmillan UK 2016. ISBN/ISSN: 9781137561398 1137561394 OCLC:941726001

  
  

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Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model

Author:	Viola Fabbrini; Massimo Guidolin; Manuela Pedio
Publisher:	London Palgrave Macmillan UK 2016.
Series:	Palgrave pivot
Edition/Format:	eBook : Document : EnglishView all editions and formats
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.  Read more...
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Subjects	Business. Business enterprises -- Finance. Finance. View all subjects
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