Series: IMF Working Papers
Author(s): Nathaniel Frank , and Heiko Hesse
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2009
Keywords: Subprime Crisis, Solvency, GARCH, bond, stock market, financial institutions,
In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GAR...