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Transmission of liquidity shocks : evidence from the 2007 subprime crisis

Author: Nathaniel Frank; Brenda González-Hermosillo; Heiko Hesse; International Monetary Fund. Monetary and Capital Markets Department.
Publisher: Washington, D.C. : International Monetary Fund, ©2008.
Series: IMF working paper, WP/08/200.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
We 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  Read more...
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Additional Physical Format: Print version:
Frank, Nathaniel.
Transmission of liquidity shocks.
Washington, D.C. : International Monetary Fund, ©2008
(OCoLC)314436569
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nathaniel Frank; Brenda González-Hermosillo; Heiko Hesse; International Monetary Fund. Monetary and Capital Markets Department.
OCLC Number: 762517767
Notes: At head of title: Monetary and Capital Markets Department.
"August 2008."
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2011. MiAaHDL
Description: 1 online resource (21 pages) : illustrations
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/08/200.
Responsibility: prepared by Nathaniel Frank, Brenda González-Hermosillo, and Heiko Hesse.

Abstract:

We 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.

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