Transmission of Liquidity Shocks : Evidence From the 2007 Subprime Crisis /

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Bibliographic Details
Author / Creator:	Hesse, Heiko.
Imprint:	Washington, D.C. : International Monetary Fund, 2008.
Description:	1 online resource (21 pages).
Language:	English
Series:	IMF Working Papers, 2227-8885 ; Working Paper No. 08/200 IMF Working Papers ; Working Paper no. 08/200.
Subject:	Liquidity (Economics) -- Econometric models. Subprime mortgage loans -- United States -- Econometric models. Credit -- United States -- Econometric models. Financial crises -- United States. Credit -- Econometric models. Financial crises. Liquidity (Economics) -- Econometric models. United States. Electronic book.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12508572

Hidden Bibliographic Details
Other authors / contributors:	Hesse, Heiko. González-Hermosillo, Brenda. Frank, Nathaniel. International Monetary Fund.
ISBN:	145191511X 9781451915112 9781451870589 1451870582 9781451915112
ISSN:	2227-8885
Notes:	Available in PDF, ePUB, and Mobi formats on the Internet.
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.
Other form:	Print Version: 9781451915112
Standard no.:	10.5089/9781451915112.001

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