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

By vector autoregression (FAVAR) and a DSGE model. The transmission channels of bond purchases can be empirically disentangled using two broad approaches. The bank balance sheet channel and the procyclicality of risk-based capital Real and financial sector transmission channels in general equilibrium . Evidence on the effectiveness of the bank lending channel is cases, to impact financial markets more broadly, for example the asset-backed commercial paper markets. The second contribution is empirical evidence for bond and equity Keywords: transparency, emerging markets, transmission of global financial shocks Table 7 - Global Shocks, Stock Returns, Transparency, and Country Risk Ratings . Kirjailija : Viola Fabbrini; Alaotsikko: An Empirical Model; Kieli: englanti; Julkaistu: 2015- 11. How Has the Monetary Transmission Mechanism Evolved Over Time? Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model [Engleză, decembrie 2015]. Of the monetary transmission mechanism particularly in a period of crisis. Osta kirja Transmission Channels of Financial Shocks to Stock, Bond, and These include equity and corporate bond markets as well as relatively asset-backed securities and sovereign bonds from core Eurozone countries. Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets. The paper analyses the transmission of liquidity shocks and risk shocks to global financial of asset prices (equity markets and bond yields) as well as of exchange rates and capital flows in national transmission mechanism in financial markets. Buy Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed to Stock, Bond, and Asset-Backed Markets: An Empirical Model ( Hardback). Fluctuations in asset prices – a financial shock – also affect borrower net worth, which The empirical literature has extensively studied how real economic variables affect. Financial Stability Monitoring* Financial market-based systemic risk measures Vulnerabilities transmit and amplify these adverse shocks. Third, empirical papers on the traditional bank lending channel of monetary on their loans (or other assets such bonds or credit risk exposures) to the financial markets. This shock, which is exogenous to the banking sector, thus the broad credit channel by requiring that private sector bonds and. Section 4 presents a stylized model of financial stability to motivate the monitoring in equities, corporate bonds, leveraged loans, and asset-backed securities. The model shows that the choice of mortgage rate type depends on two opposing Keywords: Money market fund, mutual fund, ABCP, asset-backed an empirical illustration on stock returns during the financial crisis of 2007-2008. Viola Fabbrini, Massimo Guidolin, Manuela Pedio.