Front Matter Page
Western Hemisphere Department
Authorized for distribution by Tamim Bayoumi
Contents
I. Introduction
II. Specification and Key Variables
A. Basic Specification
B. Key Data
III. Empirical Analysis
A. Basic Results
B. Evolving Roles of Liquidity Constraint and Demand Contractions
C. Alternative Measure of Financial Dependence
D. Placebo Tests
E. Exposures to Exchange Rate and Commodity Price Movement
F. Additional Robustness Checks and Extensions
IV. Conclusion
References
Tables
1a. Summary Statistics
1b. Correlation Among Variables
2. Change in Stock Price during the Subprime Crisis
3. Alternative Measure of Financial Dependence
4. Does Liquidity Constraint Explain Changes in Stock Prices During September 10–28, 2001?
5. Placebo Tests: Stock Price Changes Before the Subprime Crises
6. Adding Exposures to Exchange Rate and Commodity Price Movement
Figures
1. The Log of Stock Index during Subprime Crisis
2. News Count of “Subprime” and “Crisis”
3. Consensus Forecast of U.S. Real GDP Growth
4. Consumer Confidence around Sept. 11th and Subprime Crisis
5. TED (Euro-dollar bond over Treasury Bond) spread around September 11th and Subprime Crisis
6. Cumulative Stock Returns Since August 2007
7. Key Regression Coefficients from Successively Expanding Samples