05393oam 22013454 450 991082644520332120240402050450.01-4623-9615-11-4527-3394-51-4518-7058-21-282-84151-39786612841514(CKB)3170000000055092(EBL)1607995(SSID)ssj0001487370(PQKBManifestationID)11919879(PQKBTitleCode)TC0001487370(PQKBWorkID)11478469(PQKB)11067199(OCoLC)762517767(IMF)WPIEE2008200(MiAaPQ)EBC1607995(EXLCZ)99317000000005509220020129d2008 uf 0engur|n|---|||||txtccrTransmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis /Heiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo1st ed.Washington, D.C. :International Monetary Fund,2008.1 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 SwapWe 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.IMF Working Papers; Working Paper ;No. 2008/200Liquidity (Economics)Econometric modelsSubprime mortgage loansUnited StatesEconometric modelsCreditUnited StatesEconometric modelsFinancial crisesUnited StatesBanks and BankingimfFinance: GeneralimfFinancial Risk ManagementimfPortfolio ChoiceimfInvestment DecisionsimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfGeneral Financial Markets: General (includes Measurement and Data)imfFinancial CrisesimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfFinanceimfFinancial services law & regulationimfEconomic & financial crises & disastersimfBankingimfLiquidityimfLiquidity riskimfStock marketsimfFinancial crisesimfEconomicsimfFinancial risk managementimfStock exchangesimfBanks and bankingimfUnited StatesimfLiquidity (Economics)Econometric models.Subprime mortgage loansEconometric models.CreditEconometric models.Financial crisesBanks and BankingFinance: GeneralFinancial Risk ManagementPortfolio ChoiceInvestment DecisionsFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillGeneral Financial Markets: General (includes Measurement and Data)Financial CrisesBanksDepository InstitutionsMicro Finance InstitutionsMortgagesFinanceFinancial services law & regulationEconomic & financial crises & disastersBankingLiquidityLiquidity riskStock marketsFinancial crisesEconomicsFinancial risk managementStock exchangesBanks and banking332Hesse Heiko1600314Frank Nathaniel821Gonzalez-Hermosillo Brenda1604283DcWaIMFBOOK9910826445203321Transmission of Liquidity Shocks4083264UNINA