Transmission of Liquidity Shocks.

Transmission of Liquidity Shocks.

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.

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Bibliographic Details
Main Author: Hesse, Heiko
Other Authors: Frank, Nathaniel, González-Hermosillo, Brenda
Format: eBook
Language:English
Published: Washington : International Monetary Fund, 2008.
Series:IMF Working Papers.
Subjects:
Liquidity (Economics) > Econometric models.
Subprime mortgage loans > United States > Econometric models.
Credit > United States > Econometric models.
Financial crises > United States.
Credit > Econometric models
Financial crises
Liquidity (Economics) > Econometric models
United States
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Table of 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.

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