Chudik, Alexander; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2010
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 …