transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as … important in the transmission of sovereign risk contagion, but that the importance of the bond market waned during the crisis … news shock, we can show that, during the crisis period, sovereign credit risk was not related to economic fundamentals but …

volatility in sectoral indices. For this, we use daily asset data and two methodologies. The first creates a spillover index that … results that show significant transmissions of volatility among the 64 analyzed assets. Notably, the DJIA, Wilshire 5000, and … S&P 500 showed significant volatility and were the main drivers of volatility for the other sectors and indices. Results …

This paper develops methods and a framework of financial market theory. We model financial markets as a system of … that impact financial markets. We use the risk ratings of agents as their coordinates and approximate a description of … in the economic domain. The motion of separate agents in the economic domain due to a change of agents' risk rating …

yields would risk generating instability in the US shadow banking sector, and the financial system more generally, even if … strengthening the resilience of shadow banking institutions so that the risk of liquidity-induced fire sales is reduced. This should …

-479, 2010) argued that the QE measures primarily aim to reduce US interest rate spreads, such as term and risk premiums … policies significantly affect financial conditions in emerging and advanced countries by altering the risk-taking behavior of … investors. This result suggests that the risk-taking channel plays an important role in transmitting the effects of these …

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating …. Communication shocks from the US spill over to risk in the euro area and vice versa, but traditional US shocks show no spillover … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …