TY - BOOK ID - 11957484 TI - Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis AU - Hesse, Heiko. AU - Frank, Nathaniel. AU - Gonzalez-Hermosillo, Brenda. PY - 2008 VL - WP/08/200 SN - 145191511X 1462396151 9786612841514 1282841513 1451870582 1452733945 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Liquidity (Economics) KW - Subprime mortgage loans KW - Credit KW - Financial crises KW - Econometric models. KW - Borrowing KW - B-paper mortgage loans KW - Near-prime mortgage loans KW - Non-prime mortgage loans KW - Nonprime mortgage loans KW - Second chance mortgage loans KW - Sub-prime mortgage loans KW - Assets, Frozen KW - Frozen assets KW - Finance KW - Money KW - Loans KW - Mortgage loans KW - Banks and Banking KW - Finance: General KW - Financial Risk Management KW - Portfolio Choice KW - Investment Decisions KW - Financing Policy KW - Financial Risk and Risk Management KW - Capital and Ownership Structure KW - Value of Firms KW - Goodwill KW - General Financial Markets: General (includes Measurement and Data) KW - Financial Crises KW - Banks KW - Depository Institutions KW - Micro Finance Institutions KW - Mortgages KW - Financial services law & regulation KW - Economic & financial crises & disasters KW - Banking KW - Liquidity KW - Liquidity risk KW - Stock markets KW - Economics KW - Financial risk management KW - Stock exchanges KW - Banks and banking KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:11957484 AB - 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. ER -