Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach
Xiao, L., Dhesi, G., Ceptureanu, E.G., Lin, K., Herteliu, C., Syed, B. and Ceptureanu, S.I. (2020). Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach. Soft Computing. 10.
|Authors||Xiao, L., Dhesi, G., Ceptureanu, E.G., Lin, K., Herteliu, C., Syed, B. and Ceptureanu, S.I.|
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.
|Publisher||Springer Science and Business Media LLC|
|Digital Object Identifier (DOI)||doi:10.1007/s00500-020-04772-4|
|Online||24 Feb 2020|
|Publication process dates|
|Accepted||24 Jan 2020|
|Deposited||06 Mar 2020|
|Accepted author manuscript|
CC BY 4.0
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