01676cas a2200265 a 4500 AALejournalIMF005291 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451870589 1018-5941 BD-DhAAL BD-DhAAL Hesse, Heiko. Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis / Heiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo. Washington, D.C. : International Monetary Fund, 2008. 1 online resource (21 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Frank, Nathaniel. Gonzalez-Hermosillo, Brenda. IMF Working Papers; Working Paper ; No. 2008/200 Full text available on IMF http://elibrary.imf.org/view/journals/001/2008/200/001.2008.issue-200-en.xml IMF e-Library