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

被引：2

作者：

Xiao, Ling ^{[1
]}

Dhesi, Gurjeet ^{[2
]}

Ceptureanu, Eduard Gabriel ^{[3
]}

Lin, Kevin ^{[4
]}

Herteliu, Claudiu ^{[3
]}

Syed, Babar ^{[2
]}

Ceptureanu, Sebastian Ion ^{[3
]}

机构：

[1] Royal Holloway Univ London, Egham, Surrey, England

[2] London South Bank Univ, London, England

[3] Bucharest Univ Econ Studies, Bucharest, Romania

[4] Oriente, Hong Kong Isl, Hong Kong, Peoples R China

来源：

SOFT COMPUTING | 2020年 / 24卷 / 18期

关键词：

Financial crisis; Multivariate GARCH; Liquidity transmission; Subprime mortgage crisis; DYNAMIC CONDITIONAL CORRELATION; VOLATILITY SPILLOVERS; STOCK-MARKET; CRUDE-OIL; MODEL; COMPLEXITY; SHOCKS; INDEX;

D O I：

10.1007/s00500-020-04772-4

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

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.

引用

页码：13871 / 13878

页数：8

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