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Online Appendix to "Over-the-Counter Market Liquidity and Securities Lending"

Author

Listed:
  • Nathan Foley-Fisher

    (Federal Reserve Board)

  • Stefan Gissler

    (Federal Reserve Board)

  • Stephane Verani

    (Federal Reserve Board)

Abstract

Online appendix for the Review of Economic Dynamics article

Suggested Citation

  • Nathan Foley-Fisher & Stefan Gissler & Stephane Verani, 2019. "Online Appendix to "Over-the-Counter Market Liquidity and Securities Lending"," Technical Appendices 18-283, Review of Economic Dynamics.
  • Handle: RePEc:red:append:18-283
    Note: The original article was published in the Review of Economic Dynamics
    as

    Download full text from publisher

    File URL: https://economicdynamics.org/appendix/18/18-283/18-283.pdf
    Download Restriction: None

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    References listed on IDEAS

    as
    1. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    2. Atif Mian & Amir Sufi, 2012. "The Effects of Fiscal Stimulus: Evidence from the 2009 Cash for Clunkers Program," The Quarterly Journal of Economics, Oxford University Press, vol. 127(3), pages 1107-1142.
    3. Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T., 2011. "Regulatory pressure and fire sales in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 101(3), pages 596-620, September.
    4. Ricardo Lagos & Guillaume Rocheteau, 2009. "Liquidity in Asset Markets With Search Frictions," Econometrica, Econometric Society, vol. 77(2), pages 403-426, March.
    5. Dimitri Vayanos & Pierre‐Olivier Weill, 2008. "A Search‐Based Theory of the On‐the‐Run Phenomenon," Journal of Finance, American Finance Association, vol. 63(3), pages 1361-1398, June.
    6. Julien HUGONNIER & Benjamin LESTER & Pierre-Olivier WEILL, 2014. "Heterogeneity in Decentralized Asset Markets," Swiss Finance Institute Research Paper Series 14-67, Swiss Finance Institute.
    7. Darrell Duffie, 2012. "Over-The-Counter Markets," Introductory Chapters,in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets Princeton University Press.
    8. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
    9. Jaewon Choi & Yesol Huh, 2017. "Customer Liquidity Provision : Implications for Corporate Bond Transaction Costs," Finance and Economics Discussion Series 2017-116, Board of Governors of the Federal Reserve System (US).
    10. Asquith, Paul & Au, Andrea S. & Covert, Thomas & Pathak, Parag A., 2013. "The market for borrowing corporate bonds," Journal of Financial Economics, Elsevier, vol. 107(1), pages 155-182.
    11. Gary Gorton & Andrew Metrick, 2012. "Getting Up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide," Journal of Economic Literature, American Economic Association, vol. 50(1), pages 128-150, March.
    12. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
    13. Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2012. "Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises," Journal of Financial Economics, Elsevier, vol. 105(1), pages 18-36.
    14. Lagos, Ricardo & Rocheteau, Guillaume & Weill, Pierre-Olivier, 2011. "Crises and liquidity in over-the-counter markets," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2169-2205.
    15. Adam C. Kolasinski & Adam V. Reed & Matthew C. Ringgenberg, 2013. "A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market," Journal of Finance, American Finance Association, vol. 68(2), pages 559-595, April.
    16. Nathan Foley-Fisher & Borghan N. Narajabad & Stephane Verani, 2016. "Securities Lending as Wholesale Funding : Evidence from the U.S. Life Insurance Industry," Finance and Economics Discussion Series 2016-050, Board of Governors of the Federal Reserve System (US).
    17. Paul Schultz, 2001. "Corporate Bond Trading Costs: A Peek Behind the Curtain," Journal of Finance, American Finance Association, vol. 56(2), pages 677-698, April.
    18. Yakov Amihud & Haim Mendelson, 2006. "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(1), pages 19-32, April.
    19. Aragon, George O. & Strahan, Philip E., 2012. "Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy," Journal of Financial Economics, Elsevier, vol. 103(3), pages 570-587.
    20. Takeo Hoshi & Anil Kashyap & David Scharfstein, 1991. "Corporate Structure, Liquidity, and Investment: Evidence from Japanese Industrial Groups," The Quarterly Journal of Economics, Oxford University Press, vol. 106(1), pages 33-60.
    21. Gabriel Chodorow-Reich, 2014. "The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008-9 Financial Crisis," The Quarterly Journal of Economics, Oxford University Press, vol. 129(1), pages 1-59.
    22. Frank M. Keane, 2013. "Securities loans collateralized by cash: reinvestment risk, run risk, and incentive issues," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 19(May).
    23. Kovner, Anna, 2012. "Do underwriters matter? The impact of the near failure of an equity underwriter," Journal of Financial Intermediation, Elsevier, vol. 21(3), pages 507-529.
    24. repec:eee:jfinec:v:130:y:2018:i:1:p:95-113 is not listed on IDEAS
    25. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 418-437, July.
    26. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 307-339.
    27. Pedro A. C. Saffi & Kari Sigurdsson, 2011. "Price Efficiency and Short Selling," Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 821-852.
    28. Nathan Foley-Fisher & Ralf R. Meisenzahl & Borghan N. Narajabad & Maria G. Perozek & Stephane Verani, 2016. "Funding Agreement-Backed Securities in the Enhanced Financial Accounts," FEDS Notes 2016-08-05-2, Board of Governors of the Federal Reserve System (U.S.).
    29. Darrell Duffie, 2012. "Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets," Economics Books, Princeton University Press, edition 1, number 9623, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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