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Record Nr. |
UNINA9910813692103321 |
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Autore |
Tong Hui |
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Titolo |
Real Effects of the Subprime Mortgage Crisis : : Is it a Demand or a Finance Shock? / / Hui Tong, Shang-Jin Wei |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2008 |
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ISBN |
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1-4623-3258-7 |
1-4527-6219-8 |
9786612841378 |
1-4518-7044-2 |
1-282-84137-8 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (39 p.) |
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Collana |
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IMF Working Papers |
IMF working paper ; ; WP/08/186 |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Financial crises - Economic aspects |
Liquidity (Economics) |
Subprime mortgage loans - Economic aspects - United States |
Finance: General |
Investments: Stocks |
Macroeconomics |
Price Level |
Inflation |
Deflation |
Portfolio Choice |
Investment Decisions |
Commodity Markets |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
Finance |
Investment & securities |
Asset prices |
Liquidity |
Commodity prices |
Stocks |
Liquidity indicators |
Prices |
Economics |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Contents; I. Introduction; II. Specification and Key Variables; A. Basic Specification; B. Key Data; III. Empirical Analysis; A. Basic Results; B. Evolving Roles of Liquidity Constraint and Demand Contractions; C. Alternative Measure of Financial Dependence; D. Placebo Tests; E. Exposures to Exchange Rate and Commodity Price Movement; F. Additional Robustness Checks and Extensions; IV. Conclusion; References; Tables; 1a. Summary Statistics; 1b. Correlation Among Variables; 2. Change in Stock Price during the Subprime Crisis; 3. Alternative Measure of Financial Dependence |
4. Does Liquidity Constraint Explain Changes in Stock Prices During September 10-28, 2001?5. Placebo Tests: Stock Price Changes Before the Subprime Crises; 6. Adding Exposures to Exchange Rate and Commodity Price Movement; Figures; 1. The Log of Stock Index during Subprime Crisis; 2. News Count of "Subprime" and "Crisis"; 3. Consensus Forecast of U.S. Real GDP Growth; 4. Consumer Confidence around Sept. 11th and Subprime Crisis; 5. TED (Euro-dollar bond over Treasury Bond) spread around September 11th and Subprime Crisis; 6. Cumulative Stock Returns Since August 2007 |
7. Key Regression Coefficients from Successively Expanding Samples |
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Sommario/riassunto |
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We develop a methodology to study how the subprime crisis spills over to the real economy. Does it manifest itself primarily through reducing consumer demand or through tightening liquidity constraint on non-financial firms? Since most non-financial firms have much larger cash holding than before, they appear unlikely to face significant liquidity constraint. We propose a methodology to estimate these two channels of spillovers. We first propose an index of a firm's sensitivity to consumer demand, based on its response to the 9/11 shock in 2001. We then construct a separate firm-level index on financial constraint based on Whited and Wu (2006). We find that both channels are at work, but a tightened liquidity squeeze is economically more important than a reduced consumer spending in explaining cross firm differences in stock price declines. |
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