Skip to main content
SpringerLink
Log in
Palgrave Macmillan

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

An Empirical Model

  • Book
  • © 2016

Overview

Authors:
  1. Viola Fabbrini

    1. Bocconi University, Italy

    View author publications

    You can also search for this author in PubMed   Google Scholar

  2. Massimo Guidolin

    1. Bocconi University, Italy

    View author publications

    You can also search for this author in PubMed   Google Scholar

  3. Manuela Pedio

    1. Bocconi University, Italy

    View author publications

    You can also search for this author in PubMed   Google Scholar

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 39.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Hardcover Book USD 54.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (8 chapters)

  1. Front Matter

    Pages i-x
    Download chapter PDF

  2. The Background: Channels of Contagion in the US Financial Crisis

    • Viola Fabbrini, Massimo Guidolin, Manuela Pedio
    Pages 1-12

  3. Methodology

    • Viola Fabbrini, Massimo Guidolin, Manuela Pedio
    Pages 13-27

  4. The Data

    • Viola Fabbrini, Massimo Guidolin, Manuela Pedio
    Pages 28-37

  5. Estimates of Single-State VAR Models

    • Viola Fabbrini, Massimo Guidolin, Manuela Pedio
    Pages 38-49

  6. Results from Markov Switching Models

    • Viola Fabbrini, Massimo Guidolin, Manuela Pedio
    Pages 50-67

  7. Estimating and Disentangling the Contagion Channels

    • Viola Fabbrini, Massimo Guidolin, Manuela Pedio
    Pages 68-93

  8. Comparing the US and European Contagion Experiences

    • Viola Fabbrini, Massimo Guidolin, Manuela Pedio
    Pages 94-118

  9. Conclusions

    • Viola Fabbrini, Massimo Guidolin, Manuela Pedio
    Pages 119-123

  10. Back Matter

    Pages 124-131
    Download chapter PDF
Back to top

Keywords

About this book

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.

Authors and Affiliations

  • Bocconi University, Italy

    Viola Fabbrini, Massimo Guidolin, Manuela Pedio

About the authors

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.

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation