Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis / Heiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo.
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...
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Full Text (via IMF e-Library) |
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| Main Author: | |
| Other Authors: | , |
| Format: | eBook |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2008.
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| Series: | IMF working paper ;
WP/2008/200. |