Transmission of Liquidity Shocks: Evidence From the 2007 Subprime Crisis
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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2008
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 08/200 |
| Schlagworte: | |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Includes bibliographical references |
| Beschreibung: | 1 Online-Ressource (21 p) |
| ISBN: | 1451870582 9781451870589 |
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| index_date | 2024-07-03T20:13:26Z |
| indexdate | 2024-07-10T09:35:34Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Hesse, Heiko Verfasser aut Transmission of Liquidity Shocks Evidence From the 2007 Subprime Crisis Hesse, Heiko Washington, D.C International Monetary Fund 2008 1 Online-Ressource (21 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 08/200 Includes bibliographical references 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 Online-Ausg Credit United States Econometric models Financial crises United States Liquidity (Economics) Econometric models Subprime mortgage loans United States Econometric models Electronic books Frank, Nathaniel Sonstige oth González-Hermosillo, Brenda Sonstige oth http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Hesse, Heiko Transmission of Liquidity Shocks Evidence From the 2007 Subprime Crisis Credit United States Econometric models Financial crises United States Liquidity (Economics) Econometric models Subprime mortgage loans United States Econometric models |
| title | Transmission of Liquidity Shocks Evidence From the 2007 Subprime Crisis |
| title_auth | Transmission of Liquidity Shocks Evidence From the 2007 Subprime Crisis |
| title_exact_search | Transmission of Liquidity Shocks Evidence From the 2007 Subprime Crisis |
| title_exact_search_txtP | Transmission of Liquidity Shocks Evidence From the 2007 Subprime Crisis |
| title_full | Transmission of Liquidity Shocks Evidence From the 2007 Subprime Crisis Hesse, Heiko |
| title_fullStr | Transmission of Liquidity Shocks Evidence From the 2007 Subprime Crisis Hesse, Heiko |
| title_full_unstemmed | Transmission of Liquidity Shocks Evidence From the 2007 Subprime Crisis Hesse, Heiko |
| title_short | Transmission of Liquidity Shocks |
| title_sort | transmission of liquidity shocks evidence from the 2007 subprime crisis |
| title_sub | Evidence From the 2007 Subprime Crisis |
| topic | Credit United States Econometric models Financial crises United States Liquidity (Economics) Econometric models Subprime mortgage loans United States Econometric models |
| topic_facet | Credit United States Econometric models Financial crises United States Liquidity (Economics) Econometric models Subprime mortgage loans United States Econometric models |
| url | http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml |
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