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

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

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Finances and Money

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Author(s):	Massimo Guidolin

Date:	2016	Format:	pdf	Language:	English	ISBN/ASIN:	1137561386
Pages:	1	OCR:		Quality:		ISBN13:
Uploader:	tvladb77	Upload Date:	12/14/2019 12:19:30 AM

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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.

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2651238	Book	http://nitroflare.com/view/9F68A3CCFB543...	GetPremium2SupportMe	5.12	tvladb77

Tags: Asset-Backed Bond Channels Empirical Financial Markets Model Shocks Stock Transmission

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