Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach

Journal article


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.
AuthorsXiao, L., Dhesi, G., Ceptureanu, E.G., Lin, K., Herteliu, C., Syed, B. and Ceptureanu, S.I.
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.

Year2020
JournalSoft Computing
Journal citation10
PublisherSpringer Science and Business Media LLC
ISSN1432-7643
Digital Object Identifier (DOI)doi:10.1007/s00500-020-04772-4
Publication dates
Online24 Feb 2020
Publication process dates
Accepted24 Jan 2020
Deposited06 Mar 2020
Accepted author manuscript
License
CC BY 4.0
File Access Level
Open
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https://openresearch.lsbu.ac.uk/item/893v5

Accepted author manuscript

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Non stationarity of high order return distribution moments and their Irrational fractional Brownian Motion modelling
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Comparative Causality Analyses between Hydrological Natural Inflow and Climate Variables in Brazil
Huang, X, Macaira, P, Hassani, H, Oliviera, F and Dhesi, G (2018). Comparative Causality Analyses between Hydrological Natural Inflow and Climate Variables in Brazil. Physica A: Statistical Mechanics and its Applications. 516, pp. 480-495.
Global, regional, and national age-sex specific mortality for 264 causes of death, 1980–2016: a systematic analysis for the Global Burden of Disease Study 2016
Naghavi, Mohsen, Abajobir, Amanuel Alemu, Abbafati, Cristiana, Abbas, Kaja M, Abd-Allah, Foad, Abera, Semaw Ferede, Aboyans, Victor, Adetokunboh, Olatunji, Afshin, Ashkan, Agrawal, Anurag, Ahmadi, Alireza, Ahmed, Muktar Beshir, Aichour, Amani Nidhal, Aichour, Miloud Taki Eddine, Aichour, Ibtihel, Aiyar, Sneha, Alahdab, Fares, Al-Aly, Ziyad, Alam, Khurshid, Alam, Noore, Alam, Tahiya, Alene, Kefyalew Addis, Al-Eyadhy, Ayman, Ali, Syed Danish, Alizadeh-Navaei, Reza, Alkaabi, Juma M, Alkerwi, Ala'a, Alla, François, Allebeck, Peter, Allen, Christine, Al-Raddadi, Rajaa, Alsharif, Ubai, Altirkawi, Khalid A, Alvis-Guzman, Nelson, Amare, Azmeraw T, Amini, Erfan, Ammar, Walid, Amoako, Yaw Ampem, Anber, Nahla, Andersen, Hjalte H, Andrei, Catalina Liliana, Androudi, Sofia, Ansari, Hossein, Antonio, Carl Abelardo T, Anwari, Palwasha, Ärnlöv, Johan, Arora, Megha, Artaman, Al, Aryal, Krishna Kumar, Asayesh, Hamid, Asgedom, Solomon W, Atey, Tesfay Mehari, Avila-Burgos, Leticia, Avokpaho, Euripide 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Decomposition of the Inequality of Income distribution by income types- Application for Romania
Andrei, T, Oancea, B, Richmond, P, Dhesi, G and Herteliu, C (2017). Decomposition of the Inequality of Income distribution by income types- Application for Romania. Entropy. 19 (9), p. 430.
Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton
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Modified Brownian Motion Approach to Modelling Returns Distribution
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Finite size effects in the averaged eigenvalue density of Wigner random-sign real symmetric matrices
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Effect of religious rules on time of conception in Romania from 1905 to 2001
Herteliu, C., Ileanu, B.V., Ausloos, M. and Rotundo, G. (2015). Effect of religious rules on time of conception in Romania from 1905 to 2001. Human Reproduction. 30 (9), pp. 2202-2214.