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

An Empirical Model

Authors: Guidolin, Massimo, Fabbrini, Viola, Pedio, Manuela

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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.

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.

Table of contents (8 chapters)

Table of contents (8 chapters)

Buy this book

eBook 44,02 €
price for Italy (gross)
  • ISBN 978-1-137-56139-8
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 57,19 €
price for Italy (gross)
  • ISBN 978-1-137-56138-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets
Book Subtitle
An Empirical Model
Authors
Copyright
2016
Publisher
Palgrave Macmillan UK
Copyright Holder
Palgrave Macmillan, a division of Macmillan Publishers Limited
eBook ISBN
978-1-137-56139-8
DOI
10.1007/978-1-137-56139-8
Hardcover ISBN
978-1-137-56138-1
Edition Number
1
Number of Pages
X, 131
Topics