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

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

An Empirical Model

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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 a...