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Viac informácií o knihe Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

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• Obľúbené z iného súdka

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Anotácia knihy

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.

Parametre knihy

• Celý názov: Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets
• Podnázov: An Empirical Model
• Autor: Massimo Guidolin, Viola Fabbrini, Manuela Pedio
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 131
• EAN: 9781349851027
• ID: 21077127
• Nakladateľ: Palgrave Macmillan
• Rozmery: 216 × 140 mm
• Rok vydania: 2016

Obľúbené z iného súdka

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