Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets
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Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets
An Empirical Model
Guidolin, Massimo; Fabbrini, Viola; Pedio, Manuela
Palgrave Macmillan
11/2015
131
Dura
Inglês
9781137561381
15 a 20 dias
2863
Descrição não disponível.
Preface 1. The background: channels of contagion in the US financial crisis 1.1. A brief review of the sequence of events during the US financial crisis 1.2. Modeling alternative cross-market contagion channels 2. Methodology 2.1. Vector autoregressive models 2.1.1. Reduced vs. structural forms 2.1.2. Estimation 2.1.3. Impulse response functions 2.2. Markov switching vector autoregressive models 2.2.1. The model 2.2.2. Estimation 2.2.3. Generalized impulse response functions for MS models 3. The data 3.1. Asset-backed securities 3.2. The Treasury repo and Treasury bond markets 3.3. Corporate bonds 3.4. The equity market 3.5. Summary statistics 4. Estimates of single-state VAR models 4.1. Model selection 4.2. The VAR(2) model 5. Results from Markov switching models 5.1. Model selection 5.2. A three-regime MSVAR model 5.2.1. Economic interpretation of the regimes 6. Estimating and disentangling the contagion channels 6.1. A methodology to identify contagion channels 6.2. Overall patterns of financial contagion 6.3. The liquidity channel 6.4. The risk premium and the flight-to-quality channel 6.5. The correlated information channel 7. Comparing the US and European contagion experiences 7.1. A European data set 7.2. Alternative channels of contagion in the European sovereign crisis 7.3. Cross-country, cross-market shocks: did the subprime crisis spill over to Europe? 8. Conclusions References Index
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asset backed securities;Bonds;Corporate Bonds;econometrics;methods;Rating;Treasury;investments and securities
Preface 1. The background: channels of contagion in the US financial crisis 1.1. A brief review of the sequence of events during the US financial crisis 1.2. Modeling alternative cross-market contagion channels 2. Methodology 2.1. Vector autoregressive models 2.1.1. Reduced vs. structural forms 2.1.2. Estimation 2.1.3. Impulse response functions 2.2. Markov switching vector autoregressive models 2.2.1. The model 2.2.2. Estimation 2.2.3. Generalized impulse response functions for MS models 3. The data 3.1. Asset-backed securities 3.2. The Treasury repo and Treasury bond markets 3.3. Corporate bonds 3.4. The equity market 3.5. Summary statistics 4. Estimates of single-state VAR models 4.1. Model selection 4.2. The VAR(2) model 5. Results from Markov switching models 5.1. Model selection 5.2. A three-regime MSVAR model 5.2.1. Economic interpretation of the regimes 6. Estimating and disentangling the contagion channels 6.1. A methodology to identify contagion channels 6.2. Overall patterns of financial contagion 6.3. The liquidity channel 6.4. The risk premium and the flight-to-quality channel 6.5. The correlated information channel 7. Comparing the US and European contagion experiences 7.1. A European data set 7.2. Alternative channels of contagion in the European sovereign crisis 7.3. Cross-country, cross-market shocks: did the subprime crisis spill over to Europe? 8. Conclusions References Index
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
