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Citations for "Market Liquidity and Funding Liquidity"

by Brunnermeier, Markus K & Pedersen, Lasse Heje

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  1. Puriya Abbassi & Rajkamal Iyer & José-Luis Peydró & Francesc R. Tous, 2016. "Securities trading by banks and credit supply: Micro-evidence from the crisis," ESRB Working Paper Series 05, European Systemic Risk Board.
  2. Antonakakis, Nikolaos & Breitenlechner, Max & Scharler, Johann, 2015. "Business cycle and financial cycle spillovers in the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 154-162.
  3. Sebastián Becerra & Gregory Claeys & Juan Francisco Martínez, 2015. "A New Liquidity Risk Measure for the Chilean Banking Sector," Working Papers Central Bank of Chile 746, Central Bank of Chile.
  4. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
  5. Legroux, Vincent & Rahmouni-Rousseau, Imène & Szczerbowicz, Urszula & Valla, Natacha, 2017. "Stabilising virtues of central banks: (re)matching bank liquidity," EIB Working Papers 2017/01, European Investment Bank (EIB).
  6. Craig, Ben R. & Dinger, Valeriya, 2013. "Deposit market competition, wholesale funding, and bank risk," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3605-3622.
  7. Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
  8. Claudio Borio, 2010. "Ten propositions about liquidity crises," CESifo Economic Studies, CESifo, vol. 56(1), pages 70-95, March.
  9. Douglas Gale & Tanju Yorulmazer, 2011. "Liquidity Hoarding," FMG Discussion Papers dp682, Financial Markets Group.
  10. Cakici, Nusret & Tan, Sinan, 2014. "Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 179-209.
  11. Laux, Christian & Leuz, Christian, 2009. "The crisis of fair-value accounting: Making sense of the recent debate," Accounting, Organizations and Society, Elsevier, vol. 34(6-7), pages 826-834, August.
  12. repec:rwi:repape:0435 is not listed on IDEAS
  13. Tatiana Damjanovic & Sarunas Girdenas, 2013. "Should Central Bank respond to the Changes in the Loan to Collateral Value Ratio and in the House Prices?," Discussion Papers 1303, Exeter University, Department of Economics.
  14. Charoula Daskalaki & George Skiadopoulos, 2014. "The Effects of Margin Changes on Commodity Futures Markets," Working Papers 736, Queen Mary University of London, School of Economics and Finance.
  15. Colletaz, Gilbert & Hurlin, Christophe & Pérignon, Christophe, 2013. "The Risk Map: A new tool for validating risk models," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3843-3854.
  16. Wei Xiong & Zhiguo He, 2010. "Rollover Risk and Credit Risk," 2010 Meeting Papers 98, Society for Economic Dynamics.
  17. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013. "Collateral requirements and asset prices," Discussion Papers 44/2013, Deutsche Bundesbank, Research Centre.
  18. Rui Albuquerque & Tarun Ramadorai & Sumudu W. Watugala, 2014. "Trade Credit and Cross-country Predictable Firm Returns," Staff Discussion Papers 14-04, Office of Financial Research, US Department of the Treasury.
  19. Sylvain Benoit & Christophe Hurlin & Christophe Pérignon, 2014. "Implied Risk Exposures," Working Papers halshs-00836280, HAL.
  20. Damjanovic, Tatiana & Girdėnas, Šarūnas, 2014. "Quantitative easing and the loan to collateral value ratio," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 146-164.
  21. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  22. Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger, 2013. "Does Commonality in Illiquidity Matter to Investors?," Working Papers 2013:24, Lund University, Department of Economics.
  23. Ding, Xiaoya (Sara) & Ni, Yang & Zhong, Ligang, 2016. "Free float and market liquidity around the world," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 236-257.
  24. Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2011. "The price of liquidity: the effects of market conditions and bank characteristics," Working Paper Series 1376, European Central Bank.
  25. Robin Greenwood & Dimitri Vayanos, 2008. "Bond Supply and Excess Bond Returns," NBER Working Papers 13806, National Bureau of Economic Research, Inc.
  26. Miguel Fuentes & Pablo Pincheira & Juan Manuel Julio & Hernán Rincón & Santiago García-Verdú & Miguel Zerecero & Marco Vega & Erick Lahura & Ramon Moreno, 2014. "The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru," BIS Working Papers 462, Bank for International Settlements.
  27. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  28. Pablo A. Guerron-Quintana & Ryo Jinnai, 2013. "Liquidity, Trends and the Great Recession," UTokyo Price Project Working Paper Series 015, University of Tokyo, Graduate School of Economics.
  29. Lin, Li & Tsomocos, Dimitrios P. & Vardoulakis, Alexandros P., 2015. "Debt deflation effects of monetary policy," Journal of Financial Stability, Elsevier, vol. 21(C), pages 81-94.
  30. Péter Kondor & Dimitri Vayanos, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," NBER Working Papers 19931, National Bureau of Economic Research, Inc.
  31. Ghosh, Saibal, 2009. "Does activity mix and funding strategy vary across ownership? Evidence from Indian banks," MPRA Paper 32070, University Library of Munich, Germany.
  32. Dong Boem Choi, 2013. "Heterogeneity and stability: bolster the strong, not the weak," Staff Reports 637, Federal Reserve Bank of New York.
  33. Jan Babecky & Lubos Komarek & Zlatuse Komarkova, 2010. "Financial Integration at Times of Financial (In)Stability," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2009/2010, chapter 0, pages 102-109 Czech National Bank, Research Department.
  34. de la Torre, Augusto & Ize, Alain, 2009. "Regulatory reform : integrating paradigms," Policy Research Working Paper Series 4842, The World Bank.
  35. Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
  36. Mike Burkart & Amil Dasgupta, 2015. "Activist funds, leverage, and procyclicality," LSE Research Online Documents on Economics 65095, London School of Economics and Political Science, LSE Library.
  37. Ana Fostel & John Geanakoplos, 2010. "Why does Bad News Increase Volatility and Decrease Leverage?," Working Papers 2010-18, The George Washington University, Institute for International Economic Policy.
  38. Gara M. Afonso, 2008. "Liquidity and congestion," Staff Reports 349, Federal Reserve Bank of New York.
  39. Stulz, Rene M. & Vagias, Dimitrios & Van Dijk, Mathijs A., 2013. "Do Firms Issue More Equity When Markets Are More Liquid?," Working Paper Series 2013-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  40. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers 2015-06, Department of Economics and Business Economics, Aarhus University.
  41. de Oliveira Souza, Thiago, 2014. "Discount rates, market frictions, and the mystery of the size premium," Discussion Papers of Business and Economics 15/2014, Department of Business and Economics, University of Southern Denmark.
  42. Gabrisch, Hubert & Orlowski, Lucjan T. & Pusch, Toralf, 2012. "Sovereign default Risk in the Euro-Periphery and the Euro-Candidate Countries," MPRA Paper 41265, University Library of Munich, Germany.
  43. Franziska Bremus, 2011. "Financial Integration and Macroeconomic Stability: What Role for Large Banks?," Discussion Papers of DIW Berlin 1178, DIW Berlin, German Institute for Economic Research.
  44. Bottazzi, Jean-Marc & Luque, Jaime & Páscoa, Mário R., 2012. "Securities market theory: Possession, repo and rehypothecation," Journal of Economic Theory, Elsevier, vol. 147(2), pages 477-500.
  45. Vivien Lévy-Garboua, 2009. "Réparer après la crise : d’abord sortir de la confusion," Revue d'Économie Financière, Programme National Persée, vol. 95(2), pages 367-385.
  46. Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015. "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, vol. 117(2), pages 350-368.
  47. Gertler, Mark & Kiyotaki, Nobuhiro & Prestipino, Andrea, 2016. "Wholesale Banking and Bank Runs in Macroeconomic Modeling of Financial Crises," International Finance Discussion Papers 1156, Board of Governors of the Federal Reserve System (U.S.).
  48. Tomas Konecny & Oxana Babecka-Kucharcukova, 2016. "Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 302-321, August.
  49. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  50. Dewally, Michaël & Shao, Yingying, 2013. "Leverage, wholesale funding and national risk attitude," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 179-195.
  51. Fischer, Thomas & Riedler, Jesper, 2012. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  52. Mark Gertler & Nobuhiro Kiyotaki, 2014. "Banking, Liquidity and Bank Runs in an Infinite Horizon Economy," IMES Discussion Paper Series 14-E-05, Institute for Monetary and Economic Studies, Bank of Japan.
  53. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
  54. Liu, Chih-Liang & Yang, Hsin-Feng, 2017. "Systemic risk in carry-trade portfolios," Finance Research Letters, Elsevier, vol. 20(C), pages 40-46.
  55. Mark Carlson & Kris James Mitchener & Gary Richardson, 2010. "Arresting Banking Panics: Fed Liquidity Provision and the Forgotten Panic of 1929," NBER Working Papers 16460, National Bureau of Economic Research, Inc.
  56. Gorton, Gary & Metrick, Andrew, 2012. "Securitized banking and the run on repo," Journal of Financial Economics, Elsevier, vol. 104(3), pages 425-451.
  57. Kiley, Michael T. & Sim, Jae W., 2014. "Bank capital and the macroeconomy: Policy considerations," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 175-198.
  58. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  59. Ahmed, Jameel & Straetmans, Stefan, 2015. "Predicting exchange rate cycles utilizing risk factors," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 112-130.
  60. Mamatzakis, Emmanuel & Bermpei, Theodora, 2014. "What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 102-117.
  61. Paul De Grauwe & Corrado Macchiarelli, 2013. "Animal Spirits and Credit Cycles," CESifo Working Paper Series 4480, CESifo Group Munich.
  62. Varma, Jayanth R., "undated". "Finance Teaching and Research after the Global Financial Crisis," IIMA Working Papers WP2011-03-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  63. Willi Semmler & Raphaele Chappe, 2012. "Ponzi Finance And The Hedge Fund Industry," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(su), pages 1-25.
  64. Albuquerque, Rui & Schroth, Enrique, 2012. "The Value of Control and the Costs of Illiquidity," CEPR Discussion Papers 9090, C.E.P.R. Discussion Papers.
  65. Ize,Alain & De La Torre,Augusto, 2013. "The conceptual foundations of macroprudential policy : a roadmap," Policy Research Working Paper Series 6576, The World Bank.
  66. repec:fip:fedhep:y:2013:i:qii:p:30-46:n:vol.37no.2 is not listed on IDEAS
  67. Anton Korinek & Jonathan Kreamer, 2014. "The redistributive effects of financial deregulation: wall street versus main street," BIS Working Papers 468, Bank for International Settlements.
  68. Claudio E. V. Borio, 2007. "Change and constancy in the financial system: implications for financial distress and policy," BIS Working Papers 237, Bank for International Settlements.
  69. Yasin Mimir & Enes Sunel & Temel Taskin, 2012. "Required Reserves as a Credit Policy Tool," Working Papers 1224, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  70. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 363-377.
  71. Tobias Adrian & Hyun Song Shin, 2008. "Financial intermediaries, financial stability, and monetary policy," Staff Reports 346, Federal Reserve Bank of New York.
  72. Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2012. "Repo and securities lending," Staff Reports 529, Federal Reserve Bank of New York.
    • Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2013. "Repo and Securities Lending," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 131-148 National Bureau of Economic Research, Inc.
  73. Hevér, Judit, 2015. "Yakov Amihud-Haim Mendelson-Lasse Heje Pedersen: Market Liquidity. Asset Pricing, Risk and Crises. Cambridge University Press, Cambridge, 2013, 289 o
    [Yakov Amihud, Haim Mendelson and Lasse Heje Pe
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 871-875.
  74. Riccetti, Luca & Russo, Alberto & Gallegati, Mauro, 2012. "An Agent Based Decentralized Matching Macroeconomic Model," MPRA Paper 42211, University Library of Munich, Germany.
  75. Schuster, Philipp & Uhrig-Homburg, Marliese, 2012. "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics 45, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  76. Benos, Evangelos & Zikes, Filip, 2016. "Liquidity determinants in the UK gilt market," Bank of England working papers 600, Bank of England.
  77. mamatzakis, em, 2014. "The effect of corporate governance on the performance of US investment banks," MPRA Paper 60198, University Library of Munich, Germany.
  78. Martin, Antoine & Skeie, David & Thadden, Ernst-Ludwig von, 2013. "The Fragility of Short-Term Secured Funding Markets," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 449, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  79. Virginie Coudert & Valérie Mignon, 2013. "The ‘Forward Premium Puzzle’ and the Sovereign Default risk," Post-Print hal-01385839, HAL.
  80. Philip Bond & Yaron Leitner, 2010. "Market run-ups, market freezes, and leverage," Working Papers 10-36, Federal Reserve Bank of Philadelphia.
  81. de la Torre, Augusto & Ize, Alain, 2013. "The foundations of macroprudential regulation : a conceptual roadmap," Policy Research Working Paper Series 6575, The World Bank.
  82. Hombert, Johan & Thesmar, David, 2014. "Overcoming limits of arbitrage: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 111(1), pages 26-44.
  83. Biais, Bruno & Heider, Florian & Hoerova, Marie, 2014. "Risk-sharing or risk-taking? An incentive theory of counterparty risk, clearing and margins," TSE Working Papers 14-522, Toulouse School of Economics (TSE).
  84. Yves Mersch, 2013. "Default of Systemically Important Financial Intermediaries: Short-Term Stability vs. Incentive Compatability," Chapters, in: Stability of the Financial System, chapter 11 Edward Elgar Publishing.
  85. Marco Cipriani & Ana Fostel & Daniel Houser, 2012. "Leverage and Asset Prices: An Experiment," Working Papers 1033, George Mason University, Interdisciplinary Center for Economic Science.
  86. Andreas Jobst, 2012. "Measuring Systemic Risk-Adjusted Liquidity (SRL); A Model Approach," IMF Working Papers 12/209, International Monetary Fund.
  87. Singh, Ranjodh B. & Gould, John & Chan, Felix & Yang, Joey Wenling, 2016. "Liquidation discount—a novel application of ARFIMA–GARCH," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 151-161.
  88. Acharya, Viral & Gale, Douglas & Yorulmazer, Tanju, 2010. "Rollover Risk and Market Freezes," Working Papers 11-11, University of Pennsylvania, Wharton School, Weiss Center.
  89. Tu, Anthony H. & Hsieh, Wen-Liang G. & Wu, Wei-Shao, 2016. "Market uncertainty, expected volatility and the mispricing of S&P 500 index futures," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 78-98.
  90. Amir E. Khandani & Andrew W. Lo, 2008. "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers 14465, National Bureau of Economic Research, Inc.
  91. De Genaro, Alan, 2016. "Systematic multi-period stress scenarios with an application to CCP risk management," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 119-134.
  92. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.
  93. Charles Cao & Lubomir Petrasek, 2011. "Liquidity risk and hedge fund ownership," Finance and Economics Discussion Series 2011-49, Board of Governors of the Federal Reserve System (U.S.).
  94. Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2012. "Self-Fulfilling Risk Panics," American Economic Review, American Economic Association, vol. 102(7), pages 3674-3700, December.
  95. Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2013. "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," NBER Working Papers 19381, National Bureau of Economic Research, Inc.
  96. Allen, Linda & Gottesman, Aron A. & Peng, Lin, 2012. "The impact of joint participation on liquidity in equity and syndicated bank loan markets," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 50-78.
  97. Jef Boeckx & Maarten Dossche & Gert Peersman, 2014. "Effectiveness and transmission of the ECB’s balance sheet policies," Working Paper Research 275, National Bank of Belgium.
  98. Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2015. "Safe, or not safe? Covered bonds and Bank Fragility," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112875, Verein für Socialpolitik / German Economic Association.
  99. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
  100. Manmohan Singh, 2013. "The Changing Collateral Space," IMF Working Papers 13/25, International Monetary Fund.
  101. Kok, Christoffer & Schepens, Glenn, 2013. "Bank reactions after capital shortfalls," Working Paper Series 1611, European Central Bank.
  102. repec:bfr:rueban:3 is not listed on IDEAS
  103. Guillermo Andrés Cangrejo Jiménez, 2014. "La Estructura a Plazos del Riesgo Interbancario," DOCUMENTOS DE TRABAJO 012172, UNIVERSIDAD DEL ROSARIO.
  104. Charles D. Brummitt & Rajiv Sethi & Duncan J. Watts, 2014. "Inside Money, Procyclical Leverage, and Banking Catastrophes," Papers 1403.1637, arXiv.org.
  105. Marco Taboga, 2013. "What is a prime bank? A Euribor � OIS spread perspective," Temi di discussione (Economic working papers) 895, Bank of Italy, Economic Research and International Relations Area.
  106. Fratzscher, Marcel, 2011. "Capital flows, push versus pull factors and the global financial crisis," Working Paper Series 1364, European Central Bank.
  107. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
  108. Rosenthal, Dale W.R., 2009. "Market structure, counterparty risk, and systemic risk," MPRA Paper 36786, University Library of Munich, Germany, revised 19 Dec 2011.
  109. Song Han & Dan Li, 2011. "The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market," Working Papers 052011, Hong Kong Institute for Monetary Research.
  110. Yuliy Sannikov & Markus K. Brunnermeier, 2010. "A Macroeconomic Model with a Financial Sector," 2010 Meeting Papers 1114, Society for Economic Dynamics.
  111. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers 2013/14, Czech National Bank, Research Department.
  112. Andrea Beltratti & René M. Stulz, 2015. "Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis," NBER Working Papers 21150, National Bureau of Economic Research, Inc.
  113. Tobias Adrian & Hyun Song Shin, 2014. "Procyclical Leverage and Value-at-Risk," Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 373-403.
  114. Yang-Ho Park & Nicole Abruzzo, 2016. "An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(1), pages 65-100, February.
  115. Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert W., 2013. "A Model of Shadow Banking," Scholarly Articles 11688792, Harvard University Department of Economics.
  116. Baba, Naohiko & Sakurai, Yuji, 2011. "When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1450-1463, June.
  117. Martin Hoesli & Kustrim Reka, 2015. "Contagion Channels between Real Estate and Financial Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 101-138, 03.
  118. Stefan Nagel, 2011. "Evaporating Liquidity," NBER Working Papers 17653, National Bureau of Economic Research, Inc.
  119. Angelo Baglioni, 2012. "Liquidity Crunch in the Interbank Market: Is it Credit or Liquidity Risk, or Both?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(1), pages 1-18, April.
  120. Ahmet Sensoy, 2015. "Commonality in Liquidity: What does the order book say?," Working Paper 23, Research and Business Development Department, Borsa Istanbul.
  121. Christophe Hurlin & Christophe Pérignon, 2012. "Margin Backtesting," Working Papers halshs-00746274, HAL.
  122. Hagströmer, Björn & Hansson, Björn & Nilsson, Birger, 2013. "The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4476-4487.
  123. Enrico Perotti & Lev Ratnovski & Razvan Vlahu, 2011. "Capital Regulation and Tail Risk," Tinbergen Institute Discussion Papers 11-039/2/DSF14, Tinbergen Institute, revised 31 Mar 2011.
  124. van den End, Jan Willem & Tabbae, Mostafa, 2012. "When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour," Journal of Financial Stability, Elsevier, vol. 8(2), pages 107-120.
  125. Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
  126. Riccetti, Luca & Russo, Alberto & Gallegati, Mauro, 2013. "Unemployment benefits and financial factors in an agent-based macroeconomic model," Economics Discussion Papers 2013-9, Kiel Institute for the World Economy (IfW).
  127. Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012. "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper Series 65_12, The Rimini Centre for Economic Analysis.
  128. Tobias Adrian & Adam B. Ashcraft & Nicola Cetorelli, 2013. "Shadow bank monitoring," Staff Reports 638, Federal Reserve Bank of New York.
  129. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
  130. Belke Ansgar, 2013. "Non-Standard Monetary Policy Measures – Magic Wand or Tiger by the Tail?," Review of Economics, De Gruyter, vol. 64(3), pages 341-368, December.
  131. Zhiguo He & Arvind Krishnamurthy, 2013. "Intermediary Asset Pricing," American Economic Review, American Economic Association, vol. 103(2), pages 732-770, April.
  132. Lillo, Fabrizio & Pirino, Davide, 2015. "The impact of systemic and illiquidity risk on financing with risky collateral," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 180-202.
  133. Xavier Vives T., 2010. "Competition and Stability in Banking," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(2), pages 85-112, August.
  134. Michiel Bijlsma & Andrei Dubovik & Gijsbert Zwart, 2012. "Inside Liquidity in Competitive Markets," CPB Discussion Paper 209, CPB Netherlands Bureau for Economic Policy Analysis.
  135. Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
  136. Antoine Martin & David Skeie & Ernst-Ludig von Thadden, 2011. "Repo Runs," FMG Discussion Papers dp687, Financial Markets Group.
  137. Hatem Salah & Marwa Souissi, 2016. "Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure," Working Papers 985, Economic Research Forum, revised Apr 2016.
  138. Luis Felipe Céspedes & Roberto Chang & Diego Saravia, 2011. "Monetary Policy under Financial Turbulence: An Overview," Central Banking, Analysis, and Economic Policies Book Series, in: Luis Felipe Céspedes & Roberto Chang & Diego Saravia (ed.), Monetary Policy under Financial Turbulence, edition 1, volume 16, chapter 1, pages 001-021 Central Bank of Chile.
  139. Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2015. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," Staff Working Papers 15-12, Bank of Canada.
  140. Bernardo, Antonio E. & Welch, Ivo, 2013. "Leverage and preemptive selling of financial institutions," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 123-151.
  141. repec:wsi:ijtafx:v:19:y:2016:i:05:p:1650041-01-1650041-27 is not listed on IDEAS
  142. Beau, D. & Clerc, L. & Mojon, B., 2012. "Macro-Prudential Policy and the Conduct of Monetary Policy," Working papers 390, Banque de France.
  143. Oh, Ji Yeol Jimmy, 2014. "Ambiguity aversion, funding liquidity, and liquidation dynamics," Journal of Financial Markets, Elsevier, vol. 18(C), pages 49-76.
  144. GOTTARDI, Piero; MAURIN, Vincent; MONNET, Cyril, 2017. "A theory of repurchase agreements, collateral re-use, and repo intermediation," Economics Working Papers ECO2017/03, European University Institute.
  145. 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.
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  756. Tommaso Trani, 2012. "Funding under Borrowing Limits in International Portfolios," IHEID Working Papers 01-2012, Economics Section, The Graduate Institute of International Studies, revised 14 Feb 2012.
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  769. Andrea Pinna, 2014. "Indirect Contagion in an Originate-to-Distribute Banking Model," BEMPS - Bozen Economics & Management Paper Series BEMPS21, Faculty of Economics and Management at the Free University of Bozen.
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  776. Zhang, Lei & Zhang, Lin & Zheng, Yong, 2013. "Wholesale Funding, Coordination, and Credit Risk," CAGE Online Working Paper Series 124, Competitive Advantage in the Global Economy (CAGE).
  777. Bessler, Wolfgang & Kurmann, Philipp, 2014. "Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis," Journal of Financial Stability, Elsevier, vol. 13(C), pages 151-166.
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  779. Yang Chang, 2014. "A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 18, April.
  780. : Haitao Li & Weina Zhang & Gi H. Kim, 2011. "The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns," Working Papers wpn11-04, Warwick Business School, Finance Group.
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