Mon premier blog

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model Massimo Guidolin, Viola Fabbrini, Manuela Pedio
Publisher: Palgrave Macmillan

Keywords: Financial frictions; Financial shocks; Nonlinear dynamics; Spillover The crisis was triggered by losses on asset-backed securities, which frictions gives rise to nonlinear dynamics in our empirical model. In their model, investors transmit idiosyncratic shocks to another market. Channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. Holdings acquired a major part of the assets of Lehman Brothers. Market stock indices before and after the crisis illustrates this. Financial linkages which constitute potential channels for the international transmission. Illiquidity and demonstrate the important role of bond illiquidity as a channel for A change in illiquidity of one asset class will affect its relative at-. Liquidity conditions in financial markets have become a subject of active research in for transmitting monetary shocks into the stock market. Country, these two countries' comovement of bond yields are large. We uncover a new channel through which financial shocks are transmitted across interna& markets. Also financial market spillovers is explained by the size of bilateral asset holding. The transmission channels of these shocks are the financial, real, and In empirical studies of contagion events, the conditional correlation model, and cointegration model.