主 题: International financial contagion during the subprime crisis： Evidence from UK financial markets.
内容简介: In this paper, we investigate the contagion dynamics from the US low grade asset-backed securities (ABS) market to UK financial markets during the 2007 subprime mortgage crisis, and identify the contagion channels using both a single-state vector autoregressive model and a Markov switching vector autoregressive model. We show that a shock to the US low grade ABS market generates a significant and persistent effect on the yields of UK financial assets, which demonstrates the existence of contagion. Moreover, contagion episodes mainly occur during periods of financial crisis. We also find that the contagion effects of the US lower grade ABS market are transmitted to UK financial markets through a number of channels, including flight to liquidity, risk premium, flight to quality and correlated information.
报告人: 周志平 博士
时 间: 2017-12-25 14:30
地 点: 位育楼117
举办单位: 经济与金融研究院 科研部