Transmission of Liquidity Shocks: Evidence From the 2007 Subprime Crisis
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Beteilige Person: Hesse, Heiko (VerfasserIn)
Format: Elektronisch E-Book
Sprache:Englisch
Veröffentlicht: Washington, D.C International Monetary Fund 2008
Schriftenreihe:IMF Working Papers Working Paper No. 08/200
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Links:http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
http://elibrary.imf.org/view/IMF001/09521-9781451870589/09521-9781451870589/09521-9781451870589.xml
Abstract: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
Umfang:1 Online-Ressource (21 p)
ISBN:1451870582
9781451870589