Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis.
Title:
Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis.
Author:
Hesse, Heiko.
ISBN:
9781451915112
Personal Author:
Physical Description:
1 online resource (23 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. Transmission of Spillovers during the Subprime Crisis -- III. Data -- IV. Methodology -- V. Results -- VI. Conclusion -- References -- Figures -- 1. Selected Conditional Correlations -- 2. Conditional Correlations from Modified DCC Model -- 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.
Abstract:
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.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
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