03852nam 2200673 450 991046362220332120170817212631.01-4623-3258-71-4527-6219-897866128413781-4518-7044-21-282-84137-8(CKB)3170000000055076(EBL)1607953(SSID)ssj0000943036(PQKBManifestationID)11484247(PQKBTitleCode)TC0000943036(PQKBWorkID)10975246(PQKB)10150176(OCoLC)465403458(MiAaPQ)EBC1607953(EXLCZ)99317000000005507620140227h20082008 uy 0engur|n|---|||||txtccrReal effects of the subprime mortgage crisis is it a demand or finance shock? /Hui Tong and Shang-Jin Wei[Washington, District of Columbia] :International Monetary Fund,2008.©20081 online resource (39 p.)IMF Working PapersIMF working paper ;WP/08/186Description based upon print version of record.1-4519-1497-0 Includes bibliographical references.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 Dependence4. 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 20077. Key Regression Coefficients from Successively Expanding SamplesWe 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 onIMF Working PapersFinancial crisesEconomic aspectsLiquidity (Economics)Subprime mortgage loansEconomic aspectsUnited StatesElectronic books.Financial crisesEconomic aspects.Liquidity (Economics)Subprime mortgage loansEconomic aspects338.542Tong Hui888384Wei Shang-Jin118987MiAaPQMiAaPQMiAaPQBOOK9910463622203321Real effects of the subprime mortgage crisis2216719UNINA