05647oam 22012014 450 991081369210332120240402050412.01-4623-3258-71-4527-6219-897866128413781-4518-7044-21-282-84137-8(CKB)3170000000055076(EBL)1607953(SSID)ssj0000943036(PQKBManifestationID)11484247(PQKBTitleCode)TC0000943036(PQKBWorkID)10975246(PQKB)10150176(OCoLC)465403458(IMF)WPIEE2008186(NBER)w14205(MiAaPQ)EBC1607953(EXLCZ)99317000000005507620020129d2008 uf 0engur|n|---|||||txtccrReal Effects of the Subprime Mortgage Crisis : Is it a Demand or a Finance Shock? /Hui Tong, Shang-Jin Wei1st ed.Washington, D.C. :International Monetary Fund,2008.1 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 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.IMF Working Papers; Working Paper ;No. 2008/186Financial crisesEconomic aspectsLiquidity (Economics)Subprime mortgage loansEconomic aspectsUnited StatesFinance: GeneralimfInvestments: StocksimfMacroeconomicsimfPrice LevelimfInflationimfDeflationimfPortfolio ChoiceimfInvestment DecisionsimfCommodity MarketsimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfFinanceimfInvestment & securitiesimfAsset pricesimfLiquidityimfCommodity pricesimfStocksimfLiquidity indicatorsimfPricesimfEconomicsimfUnited StatesimfFinancial crisesEconomic aspects.Liquidity (Economics)Subprime mortgage loansEconomic aspectsFinance: GeneralInvestments: StocksMacroeconomicsPrice LevelInflationDeflationPortfolio ChoiceInvestment DecisionsCommodity MarketsPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsFinanceInvestment & securitiesAsset pricesLiquidityCommodity pricesStocksLiquidity indicatorsPricesEconomics338.542Tong Hui1631309Wei Shang-Jin118987DcWaIMFBOOK9910813692103321Real Effects of the Subprime Mortgage Crisis4038199UNINA