Transmission of liquidity shocks : evidence from the 2007 subprime crisis / / Nathaniel Frank, Brenda González-Hermosillo, and Heiko Hesse

• Autore: Frank Nathaniel
• Pubblicazione: [Washington, District of Columbia] : , : International Monetary Fund, , 2008; ©2008
• Descrizione fisica: 1 online resource (23 p.)
• Disciplina: 332
• Soggetto topico: Liquidity (Economics) - Econometric models; Subprime mortgage loans - United States - Econometric models; Credit - United States - Econometric models; Financial crises - United States
• Soggetto genere / forma: Electronic books.
• Altri autori: González-HermosilloBrenda HesseHeiko
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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 Swap
• Sommario/riassunto: The recent credit crisis started as a credit shock and then rapidly promulgated in the form of market and funding illiquidity before inducing solvency problems at some financial institutions. This column presents empirical evidence mapping the transmission channels of the crisis.
• Titolo autorizzato: Transmission of liquidity shocks
• ISBN: 1-4623-9615-1; 1-4527-3394-5; 1-4518-7058-2; 1-282-84151-3; 9786612841514
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910463606203321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers