Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets write by Massimo Guidolin. This book was released on 2015-11-12. Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets available in PDF, EPUB and Kindle. 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 as highly rated asset-backed securities and sovereign bonds from core Eurozone countries. The authors analyse and compare the results from linear and non-linear models to identify and assess four distinct contagion channels characterizing both US and European financial markets. These include the correlated information, risk premium, flight-to-liquidity, and flight-to quality channels. The results of this study support the theory that both investors and policy-makers ought to pay special attention to liquidity and commonalities in the perceptions of the probabilities of default, as channels through which financial shocks propagate.
Understanding Financial Interconnectedness
Understanding Financial Interconnectedness - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Understanding Financial Interconnectedness write by International Monetary Fund. Strategy, Policy, & Review Department. This book was released on 2010-04-10. Understanding Financial Interconnectedness available in PDF, EPUB and Kindle. This paper seeks to advance our understanding of global financial interconnectedness by (i) mapping aspects of the architecture of global finance and (ii) investigating critical fault lines related to interconnectedness along which systemic risks were built up and shocks transmitted in the crisis. It thus takes initial steps toward operationalizing enhanced financial sector and macro-financial surveillance called for by the IMF’s Executive Board and by experts such as de Larosiere et al. (2009). Getting a better handle on interconnectedness would strengthen the Fund‘s ability, together with the Financial Stability Board, to track systemic risk concentrations. It would also inform spillover and vulnerability analyses, and sharpen bilateral and multilateral surveillance.
The Transmission of Liquidity Shocks
The Transmission of Liquidity Shocks - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Transmission of Liquidity Shocks write by Mr.Philippe D Karam. This book was released on 2014-11-19. The Transmission of Liquidity Shocks available in PDF, EPUB and Kindle. We analyze the transmission of bank-specific liquidity shocks triggered by a credit rating downgrade through the lending channel. Using bank-level data for US Bank Holding Companies, we find that a credit rating downgrade is associated with an immediate and persistent decline in access to non-core deposits and wholesale funding, especially during the global financial crisis. This translates into a reduction in lending to households and non-financial corporates at home and abroad. The effect on domestic lending, however, is mitigated when banks (i) hold a larger buffer of liquid assets, (ii) diversify away from rating-sensitive sources of funding, and (iii) activate internal liquidity support measures. Foreign lending is significantly reduced during a crisis at home only for subsidiaries with weak funding self-sufficiency.
Managing the Sovereign-Bank Nexus
Managing the Sovereign-Bank Nexus - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Managing the Sovereign-Bank Nexus write by Mr.Giovanni Dell'Ariccia. This book was released on 2018-09-07. Managing the Sovereign-Bank Nexus available in PDF, EPUB and Kindle. This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.
Global Financial Stability Report, October 2019
Global Financial Stability Report, October 2019 - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Global Financial Stability Report, October 2019 write by International Monetary Fund. Monetary and Capital Markets Department. This book was released on 2019-10-16. Global Financial Stability Report, October 2019 available in PDF, EPUB and Kindle. The October 2019 Global Financial Stability Report (GFSR) identifies the current key vulnerabilities in the global financial system as the rise in corporate debt burdens, increasing holdings of riskier and more illiquid assets by institutional investors, and growing reliance on external borrowing by emerging and frontier market economies. The report proposes that policymakers mitigate these risks through stricter supervisory and macroprudential oversight of firms, strengthened oversight and disclosure for institutional investors, and the implementation of prudent sovereign debt management practices and frameworks for emerging and frontier market economies.
