Transmission of Liquidity Shocks : Evidence From the 2007 Subprime Crisis /
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| 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: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12508572 |
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| 100 | 1 | |a Hesse, Heiko. | |
| 245 | 1 | 0 | |a Transmission of Liquidity Shocks : |b Evidence From the 2007 Subprime Crisis / |c Hesse, Heiko. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, |c 2008. | ||
| 300 | |a 1 online resource (21 pages). | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF Working Papers, |x 2227-8885 ; |v Working Paper No. 08/200 | |
| 500 | |a Available in PDF, ePUB, and Mobi formats on the Internet. | ||
| 520 | 3 | |a 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. | |
| 505 | 0 | |a 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 | |
| 650 | 0 | |a Liquidity (Economics) |x Econometric models. | |
| 650 | 0 | |a Subprime mortgage loans |z United States |x Econometric models. | |
| 650 | 0 | |a Credit |z United States |x Econometric models. | |
| 650 | 0 | |a Financial crises |z United States. | |
| 650 | 4 | |a Banks. | |
| 650 | 4 | |a Credit. | |
| 650 | 4 | |a Economic Models. | |
| 650 | 4 | |a External Shocks. | |
| 650 | 4 | |a Financial crisis. | |
| 650 | 4 | |a Financial Institutions. | |
| 650 | 4 | |a Funding Liquidity. | |
| 650 | 4 | |a Garch. | |
| 650 | 4 | |a Liquidity Management. | |
| 650 | 4 | |a Market Liquidity. | |
| 650 | 4 | |a Spillovers. | |
| 650 | 4 | |a Subprime Crisis. | |
| 650 | 6 | |a Liquidité (Économie politique) |x Modèles économétriques. | |
| 650 | 6 | |a Prêts hypothécaires à risque |z États-Unis |x Modèles économétriques. | |
| 650 | 6 | |a Crédit |z États-Unis |x Modèles économétriques. | |
| 650 | 7 | |a Credit |x Econometric models. |2 fast |0 (OCoLC)fst00882527 | |
| 650 | 7 | |a Financial crises. |2 fast |0 (OCoLC)fst00924607 | |
| 650 | 7 | |a Liquidity (Economics) |x Econometric models. |2 fast |0 (OCoLC)fst00999685 | |
| 651 | 7 | |a United States. |2 fast |0 (OCoLC)fst01204155 | |
| 655 | 0 | |a Electronic book. | |
| 700 | 1 | |a Hesse, Heiko. | |
| 700 | 1 | |a González-Hermosillo, Brenda. | |
| 700 | 1 | |a Frank, Nathaniel. | |
| 710 | 2 | |a International Monetary Fund. |0 http://id.loc.gov/authorities/names/n81052755 | |
| 776 | 0 | 8 | |a Print Version: |z 9781451915112 |
| 830 | 0 | |a IMF Working Papers ; |v Working Paper no. 08/200. | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2008/200/001.2008.issue-200-en.xml |y INTERNATIONAL MONETARY FUND |
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