Transmission of Liquidity Shocks: Evidence from the 2007 Subprime Crisis.
We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key nancial institutions during the 2007 subprime crisis. A multivari-ate GARCH model is estimated in order to test for the transmission of liquidity shocks across U....
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Oxford-Man Institute of Quantitative Finance
2008
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