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

Ling Xiao; Gurjeet Dhesi; Claudiu Herteliu; Babar Syed

doi:10.1007/s00500-020-04772-4

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

Ling Xiao, Gurjeet Dhesi, Claudiu Herteliu, Babar Syed

Accounting Finance and Economics

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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.

Original language	English
Journal	Soft Computing
DOIs	https://doi.org/10.1007/s00500-020-04772-4
Publication status	Published - 24 Feb 2020

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title = "Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach",

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.",

author = "Ling Xiao and Gurjeet Dhesi and Claudiu Herteliu and Babar Syed",

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AU - Xiao, Ling

AU - Dhesi, Gurjeet

AU - Herteliu, Claudiu

AU - Syed, Babar

PY - 2020/2/24

Y1 - 2020/2/24

N2 - 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.

AB - 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.

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DO - 10.1007/s00500-020-04772-4

M3 - Article

SN - 1432-7643

JO - Soft Computing

JF - Soft Computing

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

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