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Risk Topography

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  • Markus K. Brunnermeier
  • Gary Gorton
  • Arvind Krishnamurthy

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  • Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2012. "Risk Topography," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 149-176.
    • Handle: RePEc:ucp:macann:doi:10.1086/663991
    DOI: 10.1086/663991
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    1. Beverly Hirtle & Til Schuermann & Kevin J. Stiroh, 2009. "Macroprudential supervision of financial institutions: lessons from the SCAP," Staff Reports 409, Federal Reserve Bank of New York.
    2. William A. Barnett, 2000. "Economic Monetary Aggregates: An Application of Index Number and Aggregation Theory," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 11-48, Emerald Group Publishing Limited.
    3. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Win), pages 14-23.
    4. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
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    6. Gorton, Gary & Metrick, Andrew, 2012. "Securitized banking and the run on repo," Journal of Financial Economics, Elsevier, vol. 104(3), pages 425-451.
    7. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 14(Spr), pages 3-18.
    8. Markus K. Brunnermeier & Yuliy Sannikov, 2014. "A Macroeconomic Model with a Financial Sector," American Economic Review, American Economic Association, vol. 104(2), pages 379-421, February.
    9. Mr. Paul Louis Ceriel Hilbers & Mr. Matthew T Jones & Mr. Graham L Slack, 2004. "Stress Testing Financial Systems: What to Do When the Governor Calls," IMF Working Papers 2004/127, International Monetary Fund.
    10. Haldane, Andrew & Hall, Simon & Pezzini, Silvia, 2007. "Financial Stability Paper No 2: A New Approach to Assessing Risks to Financial Stability," Bank of England Financial Stability Papers 2, Bank of England.
    11. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," The Journal of Business, University of Chicago Press, vol. 61(3), pages 275-298, July.
    12. Maria Soledad Martinez Peria & Mr. Giovanni Majnoni & Mr. Matthew T Jones & Mr. Winfrid Blaschke, 2001. "Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences," IMF Working Papers 2001/088, International Monetary Fund.
    13. F. A. Lutz, 1961. "The Theory of Capital," International Economic Association Series, Palgrave Macmillan, number 978-1-349-08452-4 edited by D. C. Hague, December.
    14. Nicholas Kaldor, 1961. "Capital Accumulation and Economic Growth," International Economic Association Series, in: D. C. Hague (ed.), The Theory of Capital, chapter 0, pages 177-222, Palgrave Macmillan.
    15. Bank for International Settlements, 2005. "Stress testing at major financial institutions: survey results and practice," CGFS Papers, Bank for International Settlements, number 24, december.
    16. Quagliariello,Mario (ed.), 2009. "Stress-testing the Banking System," Cambridge Books, Cambridge University Press, number 9780521767309, September.
    17. J. Steven Landefeld & Eugene P. Seskin & Barbara M. Fraumeni, 2008. "Taking the Pulse of the Economy: Measuring GDP," Journal of Economic Perspectives, American Economic Association, vol. 22(2), pages 193-216, Spring.
    18. Franklin Allen & Douglas Gale, 2004. "Financial Intermediaries and Markets," Econometrica, Econometric Society, vol. 72(4), pages 1023-1061, July.
    19. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    20. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
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    Cited by:

    1. Aikman, David & Kiley, Michael & Lee, Seung Jung & Palumbo, Michael G. & Warusawitharana, Missaka, 2017. "Mapping heat in the U.S. financial system," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 36-64.
    2. Fricke, Christoph & Fricke, Daniel, 2021. "Vulnerable asset management? The case of mutual funds," Journal of Financial Stability, Elsevier, vol. 52(C).
    3. Kurmaş AKDOĞAN & Burcu Deniz YILDIRIM, 2014. "Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(338), pages 39-66.
    4. Greenwood, Robin & Landier, Augustin & Thesmar, David, 2015. "Vulnerable banks," Journal of Financial Economics, Elsevier, vol. 115(3), pages 471-485.
    5. Carlos Castro & Juan S. Ordoñez & Sergio Preciado, 2016. "Network externalities across financial institutions," Documentos de Trabajo 14287, Universidad del Rosario.
    6. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
    7. Markus Brunnermeier & Laurent Clerc & Yanis El Omari & Silvia Gabrieli & Steffen Kern & Christoph Memmel & Tuomas Peltonen & Natalia Podlich & Martin Scheicher & Guillaume Vuillemey, 2013. "Assessing contagion risks from the CDS market," ESRB Occasional Paper Series 04, European Systemic Risk Board.
    8. Berger, Allen N. & Bouwman, Christa H.S., 2017. "Bank liquidity creation, monetary policy, and financial crises," Journal of Financial Stability, Elsevier, vol. 30(C), pages 139-155.
    9. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288, Elsevier.
    10. Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2010. "Cascades in Networks and Aggregate Volatility," NBER Working Papers 16516, National Bureau of Economic Research, Inc.
    11. Anginer, Deniz & Cerutti, Eugenio & Martínez Pería, María Soledad, 2017. "Foreign bank subsidiaries' default risk during the global crisis: What factors help insulate affiliates from their parents?," Journal of Financial Intermediation, Elsevier, vol. 29(C), pages 19-31.
    12. Jean-Loup, Soula, 2017. "Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 302-313.
    13. Charles A.E. Goodhart & Enrico Perotti, 2013. "Preventive macroprudential policy," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 115-123, January.
    14. Legroux, Vincent & Rahmouni-Rousseau, Imène & Szczerbowicz, Urszula & Valla, Natacha, 2022. "Stabilising virtues of central banks: (Re)matching bank liquidity," Journal of Banking & Finance, Elsevier, vol. 134(C).
    15. Mr. Manmohan Singh, 2011. "Velocity of Pledged Collateral: Analysis and Implications," IMF Working Papers 2011/256, International Monetary Fund.
    16. P. Pessarossi & F. Vinas, 2015. "Banks’ supply of long term credit after a liquidity shock: Evidence from 2007-2009," Débats économiques et financiers 16, Banque de France.
    17. repec:mul:jdp901:doi:10.12831/73635:y:2013:i:1:p:71-85 is not listed on IDEAS
    18. Fricke, Christoph & Fricke, Daniel, 2017. "Vulnerable Funds?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168209, Verein für Socialpolitik / German Economic Association.
    19. Viral V. Acharya & Matthew Richardson, 2012. "Implications of the Dodd-Frank Act," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 1-38, October.
    20. Olivier de Bandt & Jean-Cyprien Héam & Claire Labonne & Santiago Tavolaro, 2015. "La mesure du risque systémique après la crise financière," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 481-500.
    21. Pierre Pessarossi & Frédéric Vinas, 2015. "The supply of long-term credit after a funding shock: evidence from 2007-2009," Post-Print halshs-01224523, HAL.
    22. Ebrahimi Kahou, Mahdi & Lehar, Alfred, 2017. "Macroprudential policy: A review," Journal of Financial Stability, Elsevier, vol. 29(C), pages 92-105.
    23. Gabriele Galati & Richhild Moessner, 2013. "Macroprudential Policy – A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 846-878, December.

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