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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  Read more...
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Genre/Form: Online-Ressource
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Viola Fabbrini; Massimo Guidolin; Manuela Pedio
ISBN: 9781137561398 1137561394
OCLC Number: 941726001
Description: 1 Online-Ressource.
Contents: Preface1. The background: channels of contagion in the US financial crisis1.1. A brief review of the sequence of events during the US financial crisis1.2. Modeling alternative cross-market contagion channels2. Methodology2.1. Vector autoregressive models2.1.1. Reduced vs. structural forms2.1.2. Estimation2.1.3. Impulse response functions2.2. Markov switching vector autoregressive models2.2.1. The model2.2.2. Estimation2.2.3. Generalized impulse response functions for MS models3. The data3.1. Asset-backed securities3.2. The Treasury repo and Treasury bond markets3.3. Corporate bonds3.4. The equity market3.5. Summary statistics4. Estimates of single-state VAR models4.1. Model selection4.2. The VAR(2) model5. Results from Markov switching models5.1. Model selection5.2. A three-regime MSVAR model5.2.1. Economic interpretation of the regimes6. Estimating and disentangling the contagion channels6.1. A methodology to identify contagion channels6.2. Overall patterns of financial contagion6.3. The liquidity channel6.4. The risk premium and the flight-to-quality channel6.5. The correlated information channel7. Comparing the US and European contagion experiences7.1. A European data set7.2. Alternative channels of contagion in the European sovereign crisis7.3. Cross-country, cross-market shocks: did the subprime crisis spill over to Europe?8. ConclusionsReferencesIndex
Series Title: Palgrave pivot
Responsibility: by Viola Fabbrini, Massimo Guidolin, Manuela Pedio.

Abstract:

This book uses modern linear and nonlinear 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  Read more...

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