Name
Title | ||
|---|---|---|
Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach |
Abstract | ||
|---|---|---|
This paper examines the liquidity transmission across the interbank money market by investigating four liquidity measurements. We detect an empirical evidence of the increase in conditional correlation across different liquidity channels during the subprime mortgage crisis. Two structural breaks are observed, and the break dates correspond to the critical events that happened at the beginning of the subprime mortgage crisis. Furthermore, two out of three significant pairwise liquidity transmissions involved the TED liquidity spread. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1007/s00500-020-04772-4 | SOFT COMPUTING |
Keywords | DocType | Volume |
Financial crisis,Multivariate GARCH,Liquidity transmission,Subprime mortgage crisis | Journal | 24.0 |
Issue | ISSN | Citations |
SP18.0 | 1432-7643 | 0 |
PageRank | References | Authors |
0.34 | 0 | 7 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Ling Xiao | 1 | 0 | 0.34 |
| Gurjeet Dhesi | 2 | 0 | 2.70 |
| Eduard Gabriel Ceptureanu | 3 | 3 | 2.81 |
| Kevin Lin | 4 | 0 | 0.34 |
| Claudiu Herteliu | 5 | 3 | 3.11 |
| Babar Syed | 6 | 0 | 0.34 |
| Sebastian Ion Ceptureanu | 7 | 0 | 1.01 |