Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets
Palgrave Macmillan (Verlag)
978-1-349-85102-7 (ISBN)
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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.
Viola Fabbrini has collaborated as a researcher with Bocconi University, Italy, and she is a mergers and acquisition advisor in the US. Massimo Guidolin is Professor of Finance at Bocconi University and Director of Bocconi's FT-ranked MSc in Finance, where he teaches courses in financial econometrics, portfolio selection and asset pricing at a graduate level. His research has been published in internationally-refereed outlets such as the American Economic Review, the Journal of Econometrics, the Journal of Financial Economics, and the Review of Financial Studies. Manuela Pedio collaborates as a researcher with Bocconi University and has experience as an analyst in derivatives sales and trading. She is the winner of the 2014 UniCredit European Award for the Best Research Paper.
| Erscheinungsdatum | 20.12.2018 |
|---|---|
| Zusatzinfo | X, 131 p. |
| Verlagsort | Basingstoke |
| Sprache | englisch |
| Maße | 140 x 216 mm |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft | |
| Schlagworte | Asset Backed Securities • Bonds • Corporate Bonds • Econometrics • Methods • Rating • Treasury |
| ISBN-10 | 1-349-85102-7 / 1349851027 |
| ISBN-13 | 978-1-349-85102-7 / 9781349851027 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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