02987nam 2200685 450 991046360620332120170919211402.01-4623-9615-11-4527-3394-51-4518-7058-21-282-84151-39786612841514(CKB)3170000000055092(EBL)1607995(SSID)ssj0001487370(PQKBManifestationID)11919879(PQKBTitleCode)TC0001487370(PQKBWorkID)11478469(PQKB)11067199(OCoLC)762517767(MiAaPQ)EBC1607995(EXLCZ)99317000000005509220140226h20082008 uy 0engur|n|---|||||txtccrTransmission of liquidity shocks evidence from the 2007 subprime crisis /Nathaniel Frank, Brenda González-Hermosillo, and Heiko Hesse[Washington, District of Columbia] :International Monetary Fund,2008.©20081 online resource (23 p.)IMF Working PapersIMF working paper ;WP/08/200Description based upon print version of record.1-4519-1511-X Includes bibliographical references.Contents; 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 SwapThe recent credit crisis started as a credit shock and then rapidly promulgated in the form of market and funding illiquidity before inducing solvency problems at some financial institutions. This column presents empirical evidence mapping the transmission channels of the crisis. IMF Working PapersLiquidity (Economics)Econometric modelsSubprime mortgage loansUnited StatesEconometric modelsCreditUnited StatesEconometric modelsFinancial crisesUnited StatesElectronic books.Liquidity (Economics)Econometric models.Subprime mortgage loansEconometric models.CreditEconometric models.Financial crises332Frank Nathaniel821González-Hermosillo Brenda940537Hesse Heiko936186MiAaPQMiAaPQMiAaPQBOOK9910463606203321Transmission of liquidity shocks2253097UNINA