Coverart for item
The Resource Transmission channels of financial shocks to stock, bond, and asset-backed markets : an empirical model, Viola Fabbrini, Massimo Guidolin and Manuela Pedio, (electronic book)

Transmission channels of financial shocks to stock, bond, and asset-backed markets : an empirical model, Viola Fabbrini, Massimo Guidolin and Manuela Pedio, (electronic book)

Label
Transmission channels of financial shocks to stock, bond, and asset-backed markets : an empirical model
Title
Transmission channels of financial shocks to stock, bond, and asset-backed markets
Title remainder
an empirical model
Statement of responsibility
Viola Fabbrini, Massimo Guidolin and Manuela Pedio
Creator
Contributor
Author
Subject
Language
eng
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
Member of
Cataloging source
CNCGM
http://library.link/vocab/creatorDate
1990-
http://library.link/vocab/creatorName
Fabbrini, Viola
Dewey number
338.5/42
Illustrations
illustrations
Index
index present
LC call number
HB3722
LC item number
.F33 2016eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Guidolin, Massimo
  • Pedio, Manuela
Series statement
Palgrave pivot
http://library.link/vocab/subjectName
  • Financial crises
  • Financial crises
  • Markov processes
  • Europe
  • United States
  • Rischi sistemici
Label
Transmission channels of financial shocks to stock, bond, and asset-backed markets : an empirical model, Viola Fabbrini, Massimo Guidolin and Manuela Pedio, (electronic book)
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 124-129) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Cover; Half-Title; Title; Copyright; Contents; List of Figures; List of Tables; Preface; 1 The Background: Channels of Contagion in the US Financial Crisis; 2 Methodology; 3 The Data; 4 Estimates of Single-State VAR Models; 5 Results from Markov Switching Models; 6 Estimating and Disentangling the Contagion Channels; 7 Comparing the US and European Contagion Experiences; 8 Conclusions; References; Index
Control code
SPR930776553
Dimensions
unknown
Extent
1 online resource (x, 131 pages)
Form of item
online
Isbn
9781137561398
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-137-56139-8
Other physical details
illustrations.
Specific material designation
remote
Label
Transmission channels of financial shocks to stock, bond, and asset-backed markets : an empirical model, Viola Fabbrini, Massimo Guidolin and Manuela Pedio, (electronic book)
Publication
Bibliography note
Includes bibliographical references (pages 124-129) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Cover; Half-Title; Title; Copyright; Contents; List of Figures; List of Tables; Preface; 1 The Background: Channels of Contagion in the US Financial Crisis; 2 Methodology; 3 The Data; 4 Estimates of Single-State VAR Models; 5 Results from Markov Switching Models; 6 Estimating and Disentangling the Contagion Channels; 7 Comparing the US and European Contagion Experiences; 8 Conclusions; References; Index
Control code
SPR930776553
Dimensions
unknown
Extent
1 online resource (x, 131 pages)
Form of item
online
Isbn
9781137561398
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-137-56139-8
Other physical details
illustrations.
Specific material designation
remote

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