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Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets An Empirical Model /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
London :
Palgrave Macmillan UK : Imprint: Palgrave Macmillan,
2016.
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| Edición: | 1st ed. 2016. |
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 100 | 1 | |a Guidolin, Massimo. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets |h [electronic resource] : |b An Empirical Model / |c by Massimo Guidolin, Viola Fabbrini, Manuela Pedio. |
| 250 | |a 1st ed. 2016. | ||
| 264 | 1 | |a London : |b Palgrave Macmillan UK : |b Imprint: Palgrave Macmillan, |c 2016. | |
| 300 | |a X, 131 p. |b online resource. | ||
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| 520 | |a 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. | ||
| 650 | 0 | |a Business enterprises-Finance. | |
| 650 | 0 | |a Finance. | |
| 650 | 0 | |a Financial services industry. | |
| 650 | 0 | |a Macroeconomics. | |
| 650 | 1 | 4 | |a Corporate Finance. |
| 650 | 2 | 4 | |a Financial Economics. |
| 650 | 2 | 4 | |a Financial Services. |
| 650 | 2 | 4 | |a Macroeconomics and Monetary Economics. |
| 700 | 1 | |a Fabbrini, Viola. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 700 | 1 | |a Pedio, Manuela. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9781137561381 |
| 776 | 0 | 8 | |i Printed edition: |z 9781349851027 |
| 776 | 0 | 8 | |i Printed edition: |z 9781349851010 |
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