LEADER 05393oam 22013454 450 001 9910826445203321 005 20240402050450.0 010 $a1-4623-9615-1 010 $a1-4527-3394-5 010 $a1-4518-7058-2 010 $a1-282-84151-3 010 $a9786612841514 035 $a(CKB)3170000000055092 035 $a(EBL)1607995 035 $a(SSID)ssj0001487370 035 $a(PQKBManifestationID)11919879 035 $a(PQKBTitleCode)TC0001487370 035 $a(PQKBWorkID)11478469 035 $a(PQKB)11067199 035 $a(OCoLC)762517767 035 $a(MiAaPQ)EBC1607995 035 $a(IMF)WPIEE2008200 035 $a(EXLCZ)993170000000055092 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aTransmission of Liquidity Shocks : $eEvidence from the 2007 Subprime Crisis /$fHeiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (23 p.) 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/08/200 300 $aDescription based upon print version of record. 311 $a1-4519-1511-X 320 $aIncludes bibliographical references. 327 $aContents; 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 Swap 330 3 $aWe examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks across U.S. financial markets. It is found that the interaction between market and funding illiquidity increases sharply during the recent period of financial turbulence, and that bank solvency becomes important. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/200 606 $aLiquidity (Economics)$xEconometric models 606 $aSubprime mortgage loans$zUnited States$xEconometric models 606 $aCredit$zUnited States$xEconometric models 606 $aFinancial crises$zUnited States 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aFinancial Risk Management$2imf 606 $aPortfolio Choice$2imf 606 $aInvestment Decisions$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aFinancial Crises$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aFinance$2imf 606 $aFinancial services law & regulation$2imf 606 $aEconomic & financial crises & disasters$2imf 606 $aBanking$2imf 606 $aLiquidity$2imf 606 $aLiquidity risk$2imf 606 $aStock markets$2imf 606 $aFinancial crises$2imf 606 $aEconomics$2imf 606 $aFinancial risk management$2imf 606 $aStock exchanges$2imf 606 $aBanks and banking$2imf 607 $aUnited States$2imf 615 0$aLiquidity (Economics)$xEconometric models. 615 0$aSubprime mortgage loans$xEconometric models. 615 0$aCredit$xEconometric models. 615 0$aFinancial crises 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aFinancial Risk Management 615 7$aPortfolio Choice 615 7$aInvestment Decisions 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aFinancial Crises 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aFinance 615 7$aFinancial services law & regulation 615 7$aEconomic & financial crises & disasters 615 7$aBanking 615 7$aLiquidity 615 7$aLiquidity risk 615 7$aStock markets 615 7$aFinancial crises 615 7$aEconomics 615 7$aFinancial risk management 615 7$aStock exchanges 615 7$aBanks and banking 676 $a332 700 $aHesse$b Heiko$01600314 701 $aFrank$b Nathaniel$0821 701 $aGonzalez-Hermosillo$b Brenda$01604283 801 0$bDcWaIMF 906 $aBOOK 912 $a9910826445203321 996 $aTransmission of Liquidity Shocks$94083264 997 $aUNINA