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Citations for "Rollover Risk and Market Freezes"

by Viral V. Acharya & Douglas Gale & Tanju Yorulmazer

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  1. Antoine Martin & David Skeie & Ernst-Ludwig von Thadden, 2013. "The fragility of short-term secured funding markets," Staff Reports, Federal Reserve Bank of New York 630, Federal Reserve Bank of New York.
  2. Pedersen, Lasse Heje, 2009. "When Everyone Runs for the Exit," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7436, C.E.P.R. Discussion Papers.
  3. Frank Schmielewski, 2012. "Leveraging and risk taking within the German banking system: Evidence of the financial crisis in 2007 and 2008," Working Paper Series in Economics, University of Lüneburg, Institute of Economics 229, University of Lüneburg, Institute of Economics.
  4. Shleifer, Andrei & Vishny, Robert W., 2010. "Unstable banking," Journal of Financial Economics, Elsevier, Elsevier, vol. 97(3), pages 306-318, September.
  5. Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
  6. Bruche, Max & Suarez, Javier, 2010. "Deposit insurance and money market freezes," Journal of Monetary Economics, Elsevier, Elsevier, vol. 57(1), pages 45-61, January.
  7. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
  8. Enrico Perotti & Javier Suarez, 2011. "A Pigovian Approach to Liquidity Regulation," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 3-41, December.
  9. Zhang, Lei & Zhang, Lin & Zheng, Yong, 2013. "Wholesale Funding, Coordination, and Credit Risk," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE) 124, Competitive Advantage in the Global Economy (CAGE).
  10. Tümer Kapan & Camelia Minoiu, 2013. "Balance Sheet Strength and Bank Lending During the Global Financial Crisis," IMF Working Papers 13/102, International Monetary Fund.
  11. Gary Gorton & Andrew Metrick, 2010. "Regulating the Shadow Banking System," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(2 (Fall)), pages 261-312.
  12. Pierluigi Bologna, 2011. "Is there a Role for Funding in Explaining Recent U.S. Banks' Failures?," IMF Working Papers 11/180, International Monetary Fund.
  13. Thierfelder, Felix, 2012. "Maturity shortening and market failure," Discussion Papers 06/2012, Deutsche Bundesbank, Research Centre.
  14. Kyle Moore & Chen Zhou, 2012. "Identifying systemically important financial institutions: size and other determinants," DNB Working Papers, Netherlands Central Bank, Research Department 347, Netherlands Central Bank, Research Department.
  15. Douglas W Diamond, 2010. "Fear of fire sales and the credit freeze," BIS Working Papers 305, Bank for International Settlements.
  16. Gianni De Nicoló & Andrea Gamba & Marcella Lucchetta, 2012. "Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking," IMF Working Papers 12/72, International Monetary Fund.
  17. Amidu, Mohammed, 2013. "The effects of the structure of banking market and funding strategy on risk and return," International Review of Financial Analysis, Elsevier, Elsevier, vol. 28(C), pages 143-155.
  18. Anatoli Segura & Javier Suarez, 2011. "Dynamic Maturity Transforation," Working Papers, CEMFI wp2011_1105, CEMFI.
  19. Allen, Franklin & Babus, Ana & Carletti, Elena, 2012. "Asset commonality, debt maturity and systemic risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 104(3), pages 519-534.
  20. Spiros Bougheas & Alan Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," Discussion Papers 2014/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  21. Gary Gorton & Andrew Metrick, 2009. "Securitized Banking and the Run on Repo," Yale School of Management Working Papers, Yale School of Management amz2358, Yale School of Management, revised 01 Sep 2009.
  22. Christian Gouriéroux & Jean-Cyprien Heam, 2013. "Funding Liquidity Risk from A Regulatory Perspective," Working Papers, Centre de Recherche en Economie et Statistique 2013-20, Centre de Recherche en Economie et Statistique.
  23. Leony, Larissa & Romeu, Rafael, 2011. "A model of bank lending in the global financial crisis and the case of Korea," Journal of Asian Economics, Elsevier, Elsevier, vol. 22(4), pages 322-334, August.
  24. Tobias Adrian & Karin Kimbrough & Dina Marchioni, 2011. "The Federal Reserve’s Commercial Paper Funding Facility," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue May, pages 25-39.
  25. Angelo Baglioni, 2009. "Liquidity crunch in the interbank market: is it credit or liquidity risk, or both?," DISCE - Quaderni dell'Istituto di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE) ief0091, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  26. Kartik Anand & Prasanna Gai & Matteo Marsili, 2011. "Rollover risk, network structure and systemic financial crises," SFB 649 Discussion Papers SFB649DP2011-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  27. Lev Ratnovski & Rocco Huang, 2010. "The Dark Side of Bank Wholesale Funding," IMF Working Papers 10/170, International Monetary Fund.
  28. Vives, Xavier, 2011. "Strategic Complementarity, Fragility, and Regulation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8444, C.E.P.R. Discussion Papers.
  29. Edward J. Green, 2010. "Bailouts," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue 1Q, pages 11-32.
  30. Spiros Bougheas, . "Pooling, Tranching and Credit Expansion," Discussion Papers 12/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  31. Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB, ULB -- Universite Libre de Bruxelles 12-003, ULB -- Universite Libre de Bruxelles.
  32. Angelo Baglioni & Andrea Monticini, 2013. "Why Does the Interest Rate Decline Over the Day? Evidence from the Liquidity Crisis," Journal of Financial Services Research, Springer, Springer, vol. 44(2), pages 175-186, October.
  33. Gale, Douglas & Yorulmazer, Tanju, 2013. "Liquidity hoarding," Theoretical Economics, Econometric Society, Econometric Society, vol. 8(2), May.
  34. Bernardo, Antonio E. & Welch, Ivo, 2013. "Leverage and preemptive selling of financial institutions," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 22(2), pages 123-151.
  35. Koralai Kirabaeva, 2010. "Adverse Selection, Liquidity, and Market Breakdown," Working Papers, Bank of Canada 10-32, Bank of Canada.
  36. Ernesto Pastén, 2011. "Time - Consistent Bailout Plans," Working Papers Central Bank of Chile, Central Bank of Chile 635, Central Bank of Chile.
  37. Franklin Allen & Elena Carletti, 2013. "Financial Markets, Institutions and Liquidity," RBA Annual Conference Volume, Reserve Bank of Australia, in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.), Liquidity and Funding Markets Reserve Bank of Australia.
  38. Matthieu Bouvard & Pierre Chaigneau & Adolfo de Motta, 2012. "Transparency in the financial system: rollover risk and crises," FMG Discussion Papers, Financial Markets Group dp700, Financial Markets Group.
  39. Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2013. "Granularity of corporate debt," CFS Working Paper Series 2013/26, Center for Financial Studies (CFS).
  40. Moore, Kyle & Zhou, Chen, 2013. ""Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance," MPRA Paper 45589, University Library of Munich, Germany.
  41. Massimiliano Affinito, 2013. "Central bank refinancing, interbank markets, and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 928, Bank of Italy, Economic Research and International Relations Area.
  42. Lucian A. Bebchuk & Itay Goldstein, 2010. "Self-Fulfilling Credit Market Freezes," NBER Working Papers 16031, National Bureau of Economic Research, Inc.
  43. Konstantin Milbradt & Martin Oehmke, 2014. "Maturity Rationing and Collective Short-Termism," NBER Working Papers 19946, National Bureau of Economic Research, Inc.
  44. Acharya, Viral V & Skeie, David, 2011. "A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8705, C.E.P.R. Discussion Papers.
  45. Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011. "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," EconomiX Working Papers 2011-20, University of Paris West - Nanterre la Défense, EconomiX.
  46. Aiyar, Shekhar, 2011. "How did the crisis in international funding markets affect bank lending? Balance sheet evidence from the United Kingdom," Bank of England working papers, Bank of England 424, Bank of England.
  47. Sudipto Bhattacharya & Charles Goodhart & Dimitrios Tsomocos & Alexandros Vardoulakis, 2011. "Minsky’s Financial Instability Hypothesis and the Leverage Cycle," FMG Special Papers, Financial Markets Group sp202, Financial Markets Group.
  48. Daniel M. Covitz & Nellie Liang & Gustavo A. Suarez, 2009. "The evolution of a financial crisis: panic in the asset-backed commercial paper market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2009-36, Board of Governors of the Federal Reserve System (U.S.).
  49. Tobias Adrian & Daniel Covitz & Nellie Liang, 2013. "Financial stability monitoring," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2013-21, Board of Governors of the Federal Reserve System (U.S.).
  50. Philip Bond & Yaron Leitner, 2009. "Why do markets freeze?," Working Papers 09-24, Federal Reserve Bank of Philadelphia.
  51. Efraim Benmelech & Eyal Dvir, 2011. "Does Short-Term Debt Increase Vulnerability to Crisis? Evidence from the East Asian Financial Crisis," NBER Working Papers 17468, National Bureau of Economic Research, Inc.
  52. Francisco Nadal De Simone & Franco Stragiotti, 2010. "Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector," BCL working papers, Central Bank of Luxembourg 45, Central Bank of Luxembourg.
  53. Kartik Anand & Prasanna Gai & Matteo Marsili, 2009. "Financial crises and the evaporation of trust," Papers 0911.3099, arXiv.org.
  54. Nath, Golaka, 2013. "Repo Market – A Tool to Manage Liquidity in Financial Institutions," MPRA Paper 51590, University Library of Munich, Germany.
  55. Huang, R. & Ratnovksi, L., 2009. "The Dark Side of Bank Wholesale Funding," Discussion Paper, Tilburg University, Center for Economic Research 2009-59 S, Tilburg University, Center for Economic Research.
  56. Segura, Anatoli & Suarez, Javier, 2011. "Liquidity shocks, roll-over risk and debt maturity," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8324, C.E.P.R. Discussion Papers.
  57. Richard G. Anderson & Charles S. Gascon, 2009. "The commercial paper market, the Fed, and the 2007-2009 financial crisis," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Nov, pages 589-612.
  58. Zhiguo He & Wei Xiong, 2010. "Financing Speculative Booms," Levine's Working Paper Archive 661465000000000327, David K. Levine.
  59. Matthieu Bouvard & Pierre Chaigneau & Adolfo de Motta, 2012. "Transparency in the Financial System: Rollover Risk and Crises," Cahiers de recherche, CIRPEE 1206, CIRPEE.
  60. Hajime Tomura, 2012. "Asset Illiquidity and Market Shutdowns in Competitive Equilibrium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 283-294, July.