Cover IMF Working Papers
Transmission of Liquidity Shocks: Evidence from the 2007 Subprime Crisis
Author: Mr. Heiko Hesse, Nathaniel Frank, and Ms. Brenda Gonzalez-Hermosillo
Series:
IMF Working Papers
Volume/Issue:
Volume 2008: Issue 200
Language:
English
Publication Date:
01 Aug 2008
DOI:
https://doi.org/10.5089/9781451870589.001
ISBN:
9781451870589
ISSN:
1018-5941
Pages:
21
Keywords:
WP; market; liquidity shock; market liquidity
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (373.4 KB) Download Epub
We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks across U.S. financial markets. It is found that the interaction between market and funding illiquidity increases sharply during the recent period of financial turbulence, and that bank solvency becomes important.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund