Cantitate/Preț
Produs

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model

Autor Massimo Guidolin, Viola Fabbrini, Manuela Pedio
en Limba Engleză Hardback – 12 noi 2015
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.
Citește tot Restrânge

Preț: 37713 lei

Nou

Puncte Express: 566

Preț estimativ în valută:
7218 7503$ 5979£

Carte tipărită la comandă

Livrare economică 05-19 februarie 25

Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9781137561381
ISBN-10: 1137561386
Pagini: 131
Ilustrații: X, 131 p.
Dimensiuni: 140 x 216 x 13 mm
Greutate: 0.33 kg
Ediția:1st ed. 2016
Editura: Palgrave Macmillan UK
Colecția Palgrave Macmillan
Locul publicării:London, United Kingdom

Notă biografică

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.