Abstract
In this chapter, we introduce the variables used in this book and present the main features of the data sets actually utilized for the estimation of the models that have been examined in Chapter 2. All the series that we present in this chapter concern the US market. In Chapter 7 we will briefly examine the contagion dynamics that has engulfed the European financial markets in the different stages of the subprime and sovereign crises. The data consists of weekly observations covering the period from January 2000 to December 2013 and relates to the following asset classes: asset-backed securities, Treasury overnight repo contracts, Treasury bonds and notes, investment grade and non-investment grade corporate bonds, and stocks. Finally, we present the main statistical features of our series.
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© 2016 Viola Fabbrini, Massimo Guidolin, and Manuela Pedio
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Fabbrini, V., Guidolin, M., Pedio, M. (2016). The Data. In: Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-137-56139-8_3
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DOI: https://doi.org/10.1007/978-1-137-56139-8_3
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-85102-7
Online ISBN: 978-1-137-56139-8
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