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

Fabbrini, Viola/ Guidolin, Massimo/ Pedio, Manuela

Palgrave Macmillan（2015/11発売）

• 製本 Hardcover:ハードカバー版／ページ数 130 p.
• 言語 ENG
• 商品コード 9781137561381
• DDC分類 338.542

Full Description

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.

Contents

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