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Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis / Heiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo.
- Format:
- Book
- Government document
- Author/Creator:
- Hesse, Heiko.
- Series:
- IMF Working Papers; Working Paper ; No. 2008/200
- IMF working paper ; WP/08/200
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Liquidity (Economics)--Econometric models.
- Liquidity (Economics).
- Subprime mortgage loans--United States--Econometric models.
- Subprime mortgage loans.
- Credit--United States--Econometric models.
- Credit.
- Financial crises--United States.
- Financial crises.
- Physical Description:
- 1 online resource (23 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2008.
- Language Note:
- English
- Summary:
- We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks across U.S. financial markets. It is found that the interaction between market and funding illiquidity increases sharply during the recent period of financial turbulence, and that bank solvency becomes important.
- Contents:
- Contents; I. Introduction; II. Transmission of Spillovers during the Subprime Crisis; III. Data; IV. Methodology; V. Results; Figures; 1. Selected Conditional Correlations; 2. Conditional Correlations from Modified DCC Model; VI. Conclusion; References; Appendix Figures; 1. Aggregate Bank Credit Default Swap Rate and Selected Spreads; 2. On-the-Run/Off-the-Run Five-Year U.S. Treasury Bond Spread; 3. United States: Selected Spreads; 4. United States: S&P 500 Stock Market Returns and Credit Default Swap
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- Description based on online resource; title from PDF title page (ebrary, viewed February 26, 2014).
- ISBN:
- 9786612841514
- 9781462396153
- 1462396151
- 9781452733944
- 1452733945
- 9781451870589
- 1451870582
- 9781282841512
- 1282841513
- OCLC:
- 762517767
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