The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity … economies. - Risk ; financial crisis ; global transmission ; global VAR (GVAR) ; shocks ; modelling ; US ; advanced economies …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity … played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the …

finds that common shocks - key crisis events as well as changes to global liquidity and risk - have exerted a large effect … particular for emerging markets. - Capital flows ; factor model ; common shocks ; liquidity ; risk ; push factors ; pull factors …, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that …

This paper estimates and compares the international transmission of European Central Bank (ECB) and Federal Reserve …

maturity races, information sensitivity, risk-intolerant debt and induced runs reinforce the liquidity risk externality … demand for safety quite distinct from liquidity and classic money demand, offering insight on a strong segmentation between …

area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity …