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Amplification Mechanisms in Liquidity Crises

Citations

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Cited by:

  1. E. Chrétien & V. Lyonnet, 2017. "Traditional and Shadow Banks during the Crisis," Débats économiques et financiers 27, Banque de France.
  2. Bakoush, Mohamed & Gerding, Enrico H. & Wolfe, Simon, 2019. "Margin requirements and systemic liquidity risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 78-95.
  3. Zineddine Alla & Mr. Raphael A Espinoza & Qiaoluan H. Li & Miguel A. Segoviano, 2018. "Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses," IMF Working Papers 2018/049, International Monetary Fund.
  4. Thomas Philippon, 2015. "Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," American Economic Review, American Economic Association, vol. 105(4), pages 1408-1438, April.
  5. Avouyi-Dovi, Sanvi & Idier, Julien, 2012. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 428-438.
  6. Weber, Patrick, 2012. "Timing asset market peaks: the role of the liquidity risk cycle of the banking system," MPRA Paper 36061, University Library of Munich, Germany.
  7. Vuillemey, Guillaume, 2023. "Mitigating fire sales with a central clearing counterparty," Journal of Financial Intermediation, Elsevier, vol. 55(C).
  8. repec:hal:spmain:info:hdl:2441/7l10qorvrv8tuafch6e0ert238 is not listed on IDEAS
  9. Peter Koudijs & Hans-Joachim Voth, 2016. "Leverage and Beliefs: Personal Experience and Risk-Taking in Margin Lending," American Economic Review, American Economic Association, vol. 106(11), pages 3367-3400, November.
  10. Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 31(71), pages 1-35, June.
  11. Patrice Baubeau & Eric Monnet & Angelo Riva & Stefano Ungaro, 2021. "Flight‐to‐safety and the credit crunch: a new history of the banking crises in France during the Great Depression," Economic History Review, Economic History Society, vol. 74(1), pages 223-250, February.
  12. Lasse Pedersen, 2009. "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
  13. Mark Carlson & Kris James Mitchener & Gary Richardson, 2011. "Arresting Banking Panics: Federal Reserve Liquidity Provision and the Forgotten Panic of 1929," Journal of Political Economy, University of Chicago Press, vol. 119(5), pages 889-924.
  14. Filiani, Pasquale, 2021. "Optimal monetary–fiscal policy in the euro area liquidity crisis," Journal of Macroeconomics, Elsevier, vol. 70(C).
  15. Tamim Bayoumi & Giovanni Dell'Ariccia & Karl F Habermeier & Tommaso Mancini Griffoli & Fabian Valencia, 2014. "Monetary Policy in the New Normal," IMF Staff Discussion Notes 14/3, International Monetary Fund.
  16. Marcus Miller & Lei Zhang, 2012. "Whither Capitalism? Financial Externalities and Crisis," International Economic Association Series, in: Franklin Allen & Masahiko Aoki & Jean-Paul Fitoussi & Nobuhiro Kiyotaki & Roger Gordon & Joseph E. S (ed.), The Global Macro Economy and Finance, chapter 7, pages 131-153, Palgrave Macmillan.
  17. Atif Mian & Amir Sufi & Francesco Trebbi, 2015. "Foreclosures, House Prices, and the Real Economy," Journal of Finance, American Finance Association, vol. 70(6), pages 2587-2634, December.
  18. Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe, 2013. "Aging and Real Estate Prices:Evidence from Japanese and US Regional Data," UTokyo Price Project Working Paper Series 014, University of Tokyo, Graduate School of Economics, revised Dec 2013.
  19. Favara, Giovanni & Gao, Janet & Giannetti, Mariassunta, 2021. "Uncertainty, access to debt, and firm precautionary behavior," Journal of Financial Economics, Elsevier, vol. 141(2), pages 436-453.
  20. Diana Bonfim & Moshe Kim, 2012. "Liquidity risk in banking: is there herding?," Working Papers w201218, Banco de Portugal, Economics and Research Department.
  21. Marcus Miller & Joseph Stiglitz, 2010. "Leverage and Asset Bubbles: Averting Armageddon with Chapter 11?," Economic Journal, Royal Economic Society, vol. 120(544), pages 500-518, May.
  22. Gazi I. Kara & S. Mehmet Ozsoy, 2016. "Bank regulation under fire sale externalities," Finance and Economics Discussion Series 2016-026, Board of Governors of the Federal Reserve System (U.S.).
  23. Kamil Fortuna & Janusz Szwabi'nski, 2023. "The Unified Framework for Modelling Credit Cycles with Marshall-Walras Price Formation Process And Systemic Risk Assessment," Papers 2305.06337, arXiv.org.
  24. Markus Hertrich, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 759-794, November.
  25. Salomón García, 2022. "Mortgage securitization and information frictions in general equilibrium," Working Papers 2221, Banco de España.
  26. Chollete, Lorán & Jaffee, Dwight & Mamun, Khawaja A., 2022. "Policy suggestions from a simple framework with extreme outcomes," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 374-398.
  27. Meng, Channarith, 2014. "Consumer Loans in Cambodia: Implications on Banking Stability," MPRA Paper 54131, University Library of Munich, Germany.
  28. Guembel, Alexander & Sussman, Oren, 2010. "Liquidity, Contagion and Financial Crisis," IDEI Working Papers 664, Institut d'Économie Industrielle (IDEI), Toulouse.
  29. Michiel Bijlsma & Andrei Dubovik & Gijsbert Zwart, 2012. "Inside Liquidity in Competitive Markets," CPB Discussion Paper 209.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  30. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
  31. Andrzej Wojtyna, 2011. "Standardowe i niestandardowe działania antykryzysowe w gospodarkach wschodzących," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 9, pages 1-21.
  32. Marco Bassetto & Marco Cagetti & Mariacristina De Nardi, 2015. "Credit Crunches and Credit Allocation in a Model of Entrepreneurship," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(1), pages 53-76, January.
  33. Eduardo Dávila & Anton Korinek, 2018. "Pecuniary Externalities in Economies with Financial Frictions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 352-395.
  34. Patrice T. Robitaille, 2011. "Liquidity and reserve requirements in Brazil," International Finance Discussion Papers 1021, Board of Governors of the Federal Reserve System (U.S.).
  35. Louis RAFFESTIN, 2021. "Uncertainty as a vector of financial contagion: how does it work, and how much does it matter?," LEO Working Papers / DR LEO 2881, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  36. Jan in 't Veld & Werner Roeger, 2012. "Evaluating the Macroeconomic Effects of Government Support Measures to Financial Institutions in the EU," European Economy - Economic Papers 2008 - 2015 453, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  37. Andrea Mantovi, 2018. "The monetary dimension of arbitrage. A brief note," Working Paper series 18-27, Rimini Centre for Economic Analysis, revised Oct 2018.
  38. Nieto-Carrillo, Ernesto & Carreira, Carlos & Teixeira, Paulino, 2022. "Giving zombie firms a second chance: An assessment of the reform of the Portuguese insolvency framework," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 156-181.
  39. Podlich, Natalia, 2014. "On the role of the ECB's collateral framework in preventing fire sales," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100510, Verein für Socialpolitik / German Economic Association.
  40. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  41. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger.
  42. Perotti, Enrico & Matta, Rafael, 2016. "Liquidity Runs," CEPR Discussion Papers 11481, C.E.P.R. Discussion Papers.
  43. Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2015. "Systemic Risk and Stability in Financial Networks," American Economic Review, American Economic Association, vol. 105(2), pages 564-608, February.
  44. P. Tasca & S. Battiston, 2016. "Market procyclicality and systemic risk," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1219-1235, August.
  45. Yang Hao, 2023. "Financial Market with Learning from Price under Knightian Uncertainty," Working Papers hal-03686748, HAL.
  46. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2017. "Sovereign tail risk," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 174-188.
  47. Arvind Krishnamurthy, 2011. "Discussion of “Precautionary Reserves and the Interbank Market”," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(s2), pages 349-353, October.
  48. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
  49. Nicole Boyson & Jean Helwege & Jan Jindra, 2014. "Crises, Liquidity Shocks, and Fire Sales at Commercial Banks," Financial Management, Financial Management Association International, vol. 43(4), pages 857-884, December.
  50. Pacces Alessio M, 2017. "The Role of the Future in Law and Finance," Journal des Economistes et des Etudes Humaines, De Gruyter, vol. 23(2), pages 1-14, December.
  51. Heng, Dyna & Corbett, Jenny, 2011. "What Drives Some Countries to Hoard Foreign Reserves?," MPRA Paper 48552, University Library of Munich, Germany, revised Oct 2011.
  52. Heng, Dyna, 2011. "Does financial development reduce the motivation to hoard foreign reserves?," MPRA Paper 48555, University Library of Munich, Germany, revised 2012.
  53. Wayne Passmore & Shane M. Sherlund, 2016. "FHA, Fannie Mae, Freddie Mac, and the Great Recession," Finance and Economics Discussion Series 2016-031, Board of Governors of the Federal Reserve System (U.S.).
  54. Don H Kim & Mico Loretan & Eli M Remolona, 2010. "Contagion and risk premia in the amplification of crisis: evidence from Asian names in the global CDS market," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 318-339, Bank for International Settlements.
  55. Bole, Velimir & Oblak, Ana & Prašnikar, Janez & Trobec, Domen, 2018. "Financial frictions and indebtedness of Balkan firms: A comparison with Mediterranean and Central European countries," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 790-809.
  56. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
  57. Liu, Luke, 2011. "Asset price, asset securitization and financial stability," MPRA Paper 35000, University Library of Munich, Germany.
  58. Afrasiab Mirza & Eric Stephens, 2016. "Securitization and Aggregate Investment Efficiency," Carleton Economic Papers 16-05, Carleton University, Department of Economics, revised 24 Jan 2017.
  59. Antoine Martin & Bruno M. Parigi, 2013. "Bank Capital Regulation and Structured Finance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 87-119, February.
  60. Oet, Mikhail V. & Bianco, Timothy & Gramlich, Dieter & Ong, Stephen J., 2013. "SAFE: An early warning system for systemic banking risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4510-4533.
  61. Milan Bouchet Valat & Paul Hubert & Mathilde Le Moigne & Yaovi Sélom Agbetonyo & Emmanuelle Fromont & Jean-Laurent Viviani & Antoine Parent & Mathilde Guergoat-Larivière & Séverine Lemière, 2018. "Varia," Sciences Po publications info:hdl:2441/7l10qorvrv8, Sciences Po.
  62. Thiago Christiano Silva & Michel Alexandre da Silva & Benjamin Miranda Tabak, 2016. "Modeling Financial Networks: a feedback approach," Working Papers Series 438, Central Bank of Brazil, Research Department.
  63. Ekaterina Pirozhkova, 2017. "Financial frictions and robust monetary policy in the models of New Keynesian framework," BCAM Working Papers 1701, Birkbeck Centre for Applied Macroeconomics.
  64. repec:prg:jnlpep:v:preprint:id:513:p:1-22 is not listed on IDEAS
  65. A. Mantovi, 2019. "Information insensitivity, collateral flows and the logic of financial stability," Economics Department Working Papers 2019-EP01, Department of Economics, Parma University (Italy).
  66. Sun, Junjie & Wu, Deming & Zhao, Xinlei, 2018. "Systematic risk factors and bank failures," Journal of Economics and Business, Elsevier, vol. 98(C), pages 1-18.
  67. Roberto Robatto, 2015. "Financial Crises and Systemic Bank Runs in a Dynamic Model of Banking," 2015 Meeting Papers 483, Society for Economic Dynamics.
  68. Radu Vranceanu, 2009. "Four Myths and a Financial Crisis," Post-Print hal-00554704, HAL.
  69. Simlai, Prodosh, 2019. "Subprime credit, idiosyncratic risk, and foreclosures," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 175-189.
  70. Gaffeo, Edoardo, 2019. "Leverage and evolving heterogeneous beliefs in a simple agent-based financial market," Finance Research Letters, Elsevier, vol. 29(C), pages 272-279.
  71. Gauthier, Céline & Lehar, Alfred & Souissi, Moez, 2012. "Macroprudential capital requirements and systemic risk," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 594-618.
  72. Mirza, Afrasiab & Stephens, Eric, 2022. "Securitization and aggregate investment efficiency," Journal of Financial Intermediation, Elsevier, vol. 52(C).
  73. Chollete, Loran & Jaffee, Dwight, 2009. "Economic Implications of Extreme and Rare Events," UiS Working Papers in Economics and Finance 2009/32, University of Stavanger.
  74. Kumar, Vikram, 2020. "Liquidity shocks: A new solution to the forward premium puzzle," Economic Modelling, Elsevier, vol. 91(C), pages 445-454.
  75. repec:prg:jnlpep:v:2015:y:2015:i:5:id:513:p:1-22 is not listed on IDEAS
  76. Kara, Gazi Ishak, 2016. "Systemic risk, international regulation, and the limits of coordination," Journal of International Economics, Elsevier, vol. 99(C), pages 192-222.
  77. Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023. "Scenario-free analysis of financial stability with interacting contagion channels," Journal of Banking & Finance, Elsevier, vol. 146(C).
  78. Xu Tian, 2022. "Uncertainty and the Shadow Banking Crisis: Estimates from a Dynamic Model," Management Science, INFORMS, vol. 68(2), pages 1469-1496, February.
  79. Tomura, Hajime, 2013. "Heterogeneous beliefs and housing-market boom-bust cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 735-755.
  80. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
  81. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
  82. Mr. Daniel C Hardy & Philipp Hochreiter, 2014. "A Simple Macroprudential Liquidity Buffer," IMF Working Papers 2014/235, International Monetary Fund.
  83. Vít Pošta & Zdeněk Pikhart, 2015. "Financial Risk and Real Variables: Evidence Based on a SVAR Analysis of the Czech Economy," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(5), pages 516-537.
  84. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
  85. Mr. Thierry Tressel, 2010. "Financial Contagion Through Bank Deleveraging: Stylized Facts and Simulations Applied to the Financial Crisis," IMF Working Papers 2010/236, International Monetary Fund.
  86. Bole, Velimir & Habuš, Ada Guštin & Koman, Matjaž & Prašnikar, Janez, 2023. "Blockholdings in closely held corporations: An analysis of ownership coalitions in emerging countries," Economic Systems, Elsevier, vol. 47(2).
  87. Rudiger Ahrend & Cyrille Schwellnus, 2013. "Do investors disproportionately shed assets of distant countries during global financial crises?: The role of increased uncertainty," OECD Journal: Economic Studies, OECD Publishing, vol. 2012(1), pages 1-20.
  88. Surach Tanboon & Suchot Piamchol & Tanawat Ruenbanterng & Paiboon Pongpaichet, 2009. "Impacts of Financial Factors on Thailand's Business Cycle Fluctuations," Working Papers 2009-01, Monetary Policy Group, Bank of Thailand.
  89. Braouezec, Yann & Wagalath, Lakshithe, 2019. "Strategic fire-sales and price-mediated contagion in the banking system," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1180-1197.
  90. Garín, Julio, 2015. "Borrowing constraints, collateral fluctuations, and the labor market," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 112-130.
  91. Giovanni Calice & Yong Kyu Gam, 2023. "US National Banks and Local Economic Fragility," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(3), pages 313-338, June.
  92. In't Veld, Jan & Raciborski, Rafal & Ratto, Marco & Roeger, Werner, 2011. "The recent boom-bust cycle: The relative contribution of capital flows, credit supply and asset bubbles," European Economic Review, Elsevier, vol. 55(3), pages 386-406, April.
  93. Andrea Flori & Simone Giansante & Fabio Pammolli, 2016. "Peer-Group Detection of Banks and Resilience to Distress," Working Papers 06/2016, IMT School for Advanced Studies Lucca, revised Dec 2016.
  94. Xuewen Liu, 2023. "A Model of Systemic Bank Runs," Journal of Finance, American Finance Association, vol. 78(2), pages 731-793, April.
  95. Chollete, Loran & Ismailescu, Iuliana & Lu, Ching-Chih, 2014. "Dependence between Extreme Events in the Real and Financial Sectors," UiS Working Papers in Economics and Finance 2014/12, University of Stavanger.
  96. Bargigli, Leonardo & Gallegati, Mauro & Riccetti, Luca & Russo, Alberto, 2014. "Network analysis and calibration of the “leveraged network-based financial accelerator”," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 109-125.
  97. Hajime Tomura, 2014. "Investment Horizon and Repo in the Over-the-Counter Market," UTokyo Price Project Working Paper Series 026, University of Tokyo, Graduate School of Economics.
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