| 書目名稱 | Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets | | 副標(biāo)題 | An Empirical Model | | 編輯 | Viola Fabbrini,Massimo Guidolin,Manuela Pedio | | 視頻video | http://file.papertrans.cn/929/928982/928982.mp4 | | 圖書封面 |  | | 描述 | 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 thro | | 出版日期 | Book 2016 | | 關(guān)鍵詞 | asset backed securities; Bonds; Corporate Bonds; econometrics; methods; Rating; Treasury; investments and s | | 版次 | 1 | | doi | https://doi.org/10.1007/978-1-137-56139-8 | | isbn_ebook | 978-1-137-56139-8 | | copyright | Palgrave Macmillan, a division of Macmillan Publishers Limited 2016 |
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