Transmission channels of financial shocks to stock, bond, and asset-backed markets: An empirical model

This book takes steps from the events of the financial crisis and uses modern statistical methods to characterize how shocks to the yield of risky fixed income securities (such as 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 riskless fixed income securities (such as highly rated asset-backed securities and sovereign bonds from core Eurozone countries).