Transmission Channels of Financial Shocks to Stock, Bond,...
Guidolin, Massimo / Fabbrini, Viola / Pedio, Manuela
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...
