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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Year of publication:	2008
Authors:	Hesse, Heiko
Other Persons:	Frank, Nathaniel (contributor) ; González-Hermosillo, Brenda (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Schock \| Shock \| Liquidität \| Liquidity \| Bankenliquidität \| Bank liquidity \| Liquiditätseffekt \| Liquidity effect \| Theorie \| Theory

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Extent:	Online-Ressource (23 p)
Series:	IMF Working Papers
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record 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
ISBN:	978-1-4518-7058-9 ; 978-1-4519-1511-2 ; 978-1-4518-7058-9
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012678160