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.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.

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Year of publication:	2008-08-01
Authors:	Hesse, Heiko ; Frank, Nathaniel ; González-Hermosillo, Brenda
Institutions:	International Monetary Fund (IMF)
Subject:	Liquidity management \| External shocks \| Spillovers \| Credit \| Banks \| Financial institutions \| Economic models \| correlations \| financial markets \| correlation \| bond \| financial stability \| stock market \| treasury bond \| hedge \| hedge funds \| financial market \| money markets \| money market \| bond spread \| covariance \| stock markets \| treasury bonds \| bonds \| statistics \| heteroscedasticity \| bootstrap \| dummy variable \| bond returns \| financial innovation \| confidence intervals \| financial intermediation \| standard deviations \| samples \| equations \| explanatory power \| monte carlo simulations \| monte carlo methods \| international money markets \| financial contagion \| equation \| sampling \| diagonal matrix \| stock market volatility \| econometrics \| bond markets \| financial system \| covariances \| bond market \| surveys \| treasury bond yields \| equity markets \| bond yields

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Extent:	application/pdf
Series:	IMF Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series IMF Working Papers Number 08/200 2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005769187