LEADER 05627oam 22011894 450 001 9910788233203321 005 20170817212631.0 010 $a1-4623-3258-7 010 $a1-4527-6219-8 010 $a9786612841378 010 $a1-4518-7044-2 010 $a1-282-84137-8 035 $a(CKB)3170000000055076 035 $a(EBL)1607953 035 $a(SSID)ssj0000943036 035 $a(PQKBManifestationID)11484247 035 $a(PQKBTitleCode)TC0000943036 035 $a(PQKBWorkID)10975246 035 $a(PQKB)10150176 035 $a(OCoLC)465403458 035 $a(NBER)w14205 035 $a(MiAaPQ)EBC1607953 035 $a(IMF)WPIEE2008186 035 $a(EXLCZ)993170000000055076 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aReal Effects of the Subprime Mortgage Crisis : $eIs it a Demand or a Finance Shock? /$fHui Tong, Shang-Jin Wei 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (39 p.) 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/08/186 300 $aDescription based upon print version of record. 311 $a1-4519-1497-0 320 $aIncludes bibliographical references. 327 $aContents; 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 327 $a4. 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 327 $a7. Key Regression Coefficients from Successively Expanding Samples 330 3 $aWe develop a methodology to study how the subprime crisis spills over to the real economy. Does it manifest itself primarily through reducing consumer demand or through tightening liquidity constraint on non-financial firms? Since most non-financial firms have much larger cash holding than before, they appear unlikely to face significant liquidity constraint. We propose a methodology to estimate these two channels of spillovers. We first propose an index of a firm's sensitivity to consumer demand, based on its response to the 9/11 shock in 2001. We then construct a separate firm-level index on financial constraint based on Whited and Wu (2006). We find that both channels are at work, but a tightened liquidity squeeze is economically more important than a reduced consumer spending in explaining cross firm differences in stock price declines. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/186 606 $aFinancial crises$xEconomic aspects 606 $aLiquidity (Economics) 606 $aSubprime mortgage loans$xEconomic aspects$zUnited States 606 $aFinance: General$2imf 606 $aInvestments: Stocks$2imf 606 $aMacroeconomics$2imf 606 $aPrice Level$2imf 606 $aInflation$2imf 606 $aDeflation$2imf 606 $aPortfolio Choice$2imf 606 $aInvestment Decisions$2imf 606 $aCommodity Markets$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aFinance$2imf 606 $aInvestment & securities$2imf 606 $aAsset prices$2imf 606 $aLiquidity$2imf 606 $aCommodity prices$2imf 606 $aStocks$2imf 606 $aLiquidity indicators$2imf 606 $aPrices$2imf 606 $aEconomics$2imf 607 $aUnited States$2imf 615 0$aFinancial crises$xEconomic aspects. 615 0$aLiquidity (Economics) 615 0$aSubprime mortgage loans$xEconomic aspects 615 7$aFinance: General 615 7$aInvestments: Stocks 615 7$aMacroeconomics 615 7$aPrice Level 615 7$aInflation 615 7$aDeflation 615 7$aPortfolio Choice 615 7$aInvestment Decisions 615 7$aCommodity Markets 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aFinance 615 7$aInvestment & securities 615 7$aAsset prices 615 7$aLiquidity 615 7$aCommodity prices 615 7$aStocks 615 7$aLiquidity indicators 615 7$aPrices 615 7$aEconomics 676 $a338.542 700 $aTong$b Hui$01485143 701 $aWei$b Shang-Jin$0118987 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788233203321 996 $aReal Effects of the Subprime Mortgage Crisis$93704161 997 $aUNINA