Transmission of Liquidity Shocks; Evidence from the 2007 Subprime Crisis
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References listed on IDEAS
- Paul S. Mills & John Kiff, 2007. "Money for Nothing and Checks for Free; Recent Developments in U.S. Subprime Mortgage Markets," IMF Working Papers 07/188, International Monetary Fund.
- Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006.
"Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 4(4), pages 537-572.
- Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank.
More about this item
KeywordsExternal shocks; Financial crisis; Economic models; Financial institutions; Credit; Banks; Spillovers; Liquidity management; Funding liquidity; market liquidity; subprime crisis; GARCH; correlations; financial markets; correlation; bond;
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