The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … methodology, the findings reveal fundamental differences in the transmission strength and pattern between the 2007-08 financial … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …

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 on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity …

finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects show that common …

The globalization of banking in the United States is influencing the monetary transmission mechanism both domestically … foreign affiliates to help smooth domestic liquidity shocks. We also show that the existence of such internal capital markets … contributes to an international propagation of domestic liquidity shocks to lending by affiliated banks abroad. While these …

is through how these banks manage liquidity across their entire banking organization. We document that funds regularly … shock, reallocate liquidity in the organization according to a locational pecking order. Affiliate locations that are … important for the parent bank revenue streams are relatively protected from liquidity reallocations in the organization, while …