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Transmission of Liquidity Shocks : : Evidence from the 2007 Subprime Crisis / / Heiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo
| Transmission of Liquidity Shocks : : Evidence from the 2007 Subprime Crisis / / Heiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo |
| Autore | Hesse Heiko |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (23 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
FrankNathaniel
Gonzalez-HermosilloBrenda |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Liquidity (Economics) - Econometric models
Subprime mortgage loans - United States - Econometric models Credit - United States - Econometric models Financial crises - United States Banks and Banking Finance: General Financial Risk Management Portfolio Choice Investment Decisions Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill General Financial Markets: General (includes Measurement and Data) Financial Crises Banks Depository Institutions Micro Finance Institutions Mortgages Finance Financial services law & regulation Economic & financial crises & disasters Banking Liquidity Liquidity risk Stock markets Financial crises Economics Financial risk management Stock exchanges Banks and banking |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910788231803321 |
Hesse Heiko
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Transmission of Liquidity Shocks : : Evidence from the 2007 Subprime Crisis / / Heiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo
| Transmission of Liquidity Shocks : : Evidence from the 2007 Subprime Crisis / / Heiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo |
| Autore | Hesse Heiko |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (23 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
FrankNathaniel
Gonzalez-HermosilloBrenda |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Liquidity (Economics) - Econometric models
Subprime mortgage loans - United States - Econometric models Credit - United States - Econometric models Financial crises - United States Banks and Banking Finance: General Financial Risk Management Portfolio Choice Investment Decisions Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill General Financial Markets: General (includes Measurement and Data) Financial Crises Banks Depository Institutions Micro Finance Institutions Mortgages Finance Financial services law & regulation Economic & financial crises & disasters Banking Liquidity Liquidity risk Stock markets Financial crises Economics Financial risk management Stock exchanges Banks and banking |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910826445203321 |
|
Hesse Heiko
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A U.S. financial conditions index : putting credit where credit is due / / Andrew Swiston ; authorized for distribution by Tamim Bayoumi
| A U.S. financial conditions index : putting credit where credit is due / / Andrew Swiston ; authorized for distribution by Tamim Bayoumi |
| Autore | Swiston A (Andrew James) |
| Pubbl/distr/stampa | [Washington, District of Columbia] : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (37 p.) |
| Disciplina | 354.2799273 |
| Altri autori (Persone) | BayoumiTamim A |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Loans - United States - Econometric models
Credit - United States - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-4369-4
1-4527-2284-6 1-4518-7019-1 9786612841125 1-282-84112-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction and Literature Review; II. Building a Better Financial Conditions Index; A. Why VAR and IRF?; B. Whose Lending? Which Standards?; Figures; 1. Lending Standards and GDP Growth; Tables; 1. Lending Standards and Real Activity: Correlations; 2. Lending Standards and Financial Variables: Correlations; 2. Response of GDP to Lending Standards; C. Which Other Variables Enter the Mix?; 3. Response of GDP to Risk-Free Interest Rates; 4. Response of GDP to Default Risk and Volatility; 5. Response of GDP to Asset Prices; 6. Lending Standards and the High Yield Spread
III. Financial Conditions and GrowthA. What are the Guts of the FCI?; B. Which Financial Conditions Matter?; 7. Response of GDP to Financial Shocks; 8. Response of Financial Conditions to Lending Standards; C. What Role for Credit Aggregates?; 9. Credit Availability and the Impact of Monetary Policy on Growth; 10. Response of GDP to Credit Aggregates; D. What is the FCI's Contribution to Growth?; 3. Financial Conditions and Real Activity: Correlations and Variance Decompositions; 11. Financial Conditions Index; 12. Financial Shocks and Contributions to the FCI E. Where Do Financial Conditions Hit Hardest?13. Individual Contributions to the FCI; 14. Response of Components of Demand to Financial Shocks; F. Can the FCI See Into the Future?; 15. Leading Financial Conditions Index; IV. Conclusions; References |
| Record Nr. | UNINA-9910463590503321 |
|
Swiston A (Andrew James)
|
||
| [Washington, District of Columbia] : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A U.S. Financial Conditions Index : : Putting Credit Where Credit is Due / / Andrew Swiston
| A U.S. Financial Conditions Index : : Putting Credit Where Credit is Due / / Andrew Swiston |
| Autore | Swiston Andrew |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (37 p.) |
| Disciplina | 354.2799273 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Loans - United States - Econometric models
Credit - United States - Econometric models Banks and Banking Econometrics Investments: Stocks Money and Monetary Policy Monetary Policy, Central Banking, and the Supply of Money and Credit: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary economics Econometrics & economic statistics Finance Investment & securities Credit Vector autoregression Bank credit Short term interest rates Stocks Interest rates |
| ISBN |
1-4623-4369-4
1-4527-2284-6 1-4518-7019-1 9786612841125 1-282-84112-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction and Literature Review; II. Building a Better Financial Conditions Index; A. Why VAR and IRF?; B. Whose Lending? Which Standards?; Figures; 1. Lending Standards and GDP Growth; Tables; 1. Lending Standards and Real Activity: Correlations; 2. Lending Standards and Financial Variables: Correlations; 2. Response of GDP to Lending Standards; C. Which Other Variables Enter the Mix?; 3. Response of GDP to Risk-Free Interest Rates; 4. Response of GDP to Default Risk and Volatility; 5. Response of GDP to Asset Prices; 6. Lending Standards and the High Yield Spread
III. Financial Conditions and GrowthA. What are the Guts of the FCI?; B. Which Financial Conditions Matter?; 7. Response of GDP to Financial Shocks; 8. Response of Financial Conditions to Lending Standards; C. What Role for Credit Aggregates?; 9. Credit Availability and the Impact of Monetary Policy on Growth; 10. Response of GDP to Credit Aggregates; D. What is the FCI's Contribution to Growth?; 3. Financial Conditions and Real Activity: Correlations and Variance Decompositions; 11. Financial Conditions Index; 12. Financial Shocks and Contributions to the FCI E. Where Do Financial Conditions Hit Hardest?13. Individual Contributions to the FCI; 14. Response of Components of Demand to Financial Shocks; F. Can the FCI See Into the Future?; 15. Leading Financial Conditions Index; IV. Conclusions; References |
| Record Nr. | UNINA-9910788234803321 |
|
Swiston Andrew
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A U.S. Financial Conditions Index : : Putting Credit Where Credit is Due / / Andrew Swiston
| A U.S. Financial Conditions Index : : Putting Credit Where Credit is Due / / Andrew Swiston |
| Autore | Swiston Andrew |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (37 p.) |
| Disciplina | 354.2799273 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Loans - United States - Econometric models
Credit - United States - Econometric models Banks and Banking Econometrics Investments: Stocks Money and Monetary Policy Monetary Policy, Central Banking, and the Supply of Money and Credit: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary economics Econometrics & economic statistics Finance Investment & securities Credit Vector autoregression Bank credit Short term interest rates Stocks Interest rates |
| ISBN |
1-4623-4369-4
1-4527-2284-6 1-4518-7019-1 9786612841125 1-282-84112-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction and Literature Review; II. Building a Better Financial Conditions Index; A. Why VAR and IRF?; B. Whose Lending? Which Standards?; Figures; 1. Lending Standards and GDP Growth; Tables; 1. Lending Standards and Real Activity: Correlations; 2. Lending Standards and Financial Variables: Correlations; 2. Response of GDP to Lending Standards; C. Which Other Variables Enter the Mix?; 3. Response of GDP to Risk-Free Interest Rates; 4. Response of GDP to Default Risk and Volatility; 5. Response of GDP to Asset Prices; 6. Lending Standards and the High Yield Spread
III. Financial Conditions and GrowthA. What are the Guts of the FCI?; B. Which Financial Conditions Matter?; 7. Response of GDP to Financial Shocks; 8. Response of Financial Conditions to Lending Standards; C. What Role for Credit Aggregates?; 9. Credit Availability and the Impact of Monetary Policy on Growth; 10. Response of GDP to Credit Aggregates; D. What is the FCI's Contribution to Growth?; 3. Financial Conditions and Real Activity: Correlations and Variance Decompositions; 11. Financial Conditions Index; 12. Financial Shocks and Contributions to the FCI E. Where Do Financial Conditions Hit Hardest?13. Individual Contributions to the FCI; 14. Response of Components of Demand to Financial Shocks; F. Can the FCI See Into the Future?; 15. Leading Financial Conditions Index; IV. Conclusions; References |
| Record Nr. | UNINA-9910818878103321 |
|
Swiston Andrew
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
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Credit - United States - Econometric models
(15)
- Finance (10)
- Banks (8)
- Banks and Banking (8)
- Credit (8)