IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Liquidity risk premia in unsecured interbank money markets"

by Eisenschmidt, Jens & Tapking, Jens

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Nuno Cassola & Ali Hortaçsu & Jakub Kastl, 2013. "The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short‐Term Funds," Econometrica, Econometric Society, vol. 81(4), pages 1309-1345, 07.
  2. Adam Posen & Nicolas Véron, 2009. "A solution for Europe's banking problem," Policy Briefs 310, Bruegel.
  3. King, Thomas B. & Lewis, Kurt F., 2014. "What Drives Bank Funding Spreads?," Working Paper Series WP-2014-23, Federal Reserve Bank of Chicago.
  4. De Socio, Antonio, 2013. "The interbank market after the financial turmoil: Squeezing liquidity in a “lemons market” or asking liquidity “on tap”," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1340-1358.
  5. Nuno Cassola & Claudio Morana, 2010. "The 2007-? financial crisis: a euro area money market perspective," ICER Working Papers - Applied Mathematics Series 35-2010, ICER - International Centre for Economic Research.
  6. Hałaj, Grzegorz & Kok, Christoffer, 2014. "Modeling emergence of the interbank networks," Working Paper Series 1646, European Central Bank.
  7. 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.
  8. Agur, Itai, 2014. "Bank risk within and across equilibria," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 322-333.
  9. 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 ief0091, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  10. De La Motte, Laura & Czernomoriez, Janna & Clemens, Marius, 2010. "Zur Vertrauensökonomik: Der Interbankenmarkt in der Krise von 2007-2009
    [Economics of trust: The interbank market during the crisis 2007-2009]
    ," MPRA Paper 20357, University Library of Munich, Germany.
  11. Sergio Nicoletti-Altimari & Carmelo Salleo, 2010. "Contingent liquidity," Questioni di Economia e Finanza (Occasional Papers) 70, Bank of Italy, Economic Research and International Relations Area.
  12. Seth B. Carpenter & Selva Demiralp, 2011. "Volatility, money market rates, and the transmission of monetary policy," Finance and Economics Discussion Series 2011-22, Board of Governors of the Federal Reserve System (U.S.).
  13. 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, vol. 44(2), pages 175-186, October.
  14. Abbassi, Puriya & Linzert, Tobias, 2012. "The effectiveness of monetary policy in steering money market rates during the financial crisis," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 945-954.
  15. Stéphane Crépey & Raphael Douady, 2014. "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151315, HAL.
  16. Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M., 2012. "Market microstructure, bank's behaviour and interbank spreads," Working Papers 12/06, Department of Economics, City University London.
  17. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
  18. Paolo Fegatelli, 2010. "The role of collateral requirements in the crisis: one tool for two objectives?," BCL working papers 44, Central Bank of Luxembourg.
  19. Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, vol. 109(3), pages 707-733.
  20. Nuno Cassola & Alain Durré & Cornelia Holthausen, 2011. "Implementing monetary policy in the crisis times - the case of the ECB," Chapters, European Central Bank.
  21. ?tefan Rychtárik & Franco Stragiotti, 2009. "Liquidity Risk Monitoring Framework: A Supervisory Tool," BCL working papers 43, Central Bank of Luxembourg.
  22. Carpenter, Seth & Demiralp, Selva & Eisenschmidt, Jens, 2013. "The effectiveness of the non-standard policy measures during the financial crises: the experiences of the federal reserve and the European Central Bank," Working Paper Series 1562, European Central Bank.
  23. Poskitt, Russell & Waller, Bradley, 2011. "Do liquidity or credit effects explain the behavior of the BKBM-LIBOR differential?," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 173-193, April.
  24. Stéphane Crépey & Raphaël Douady, 2014. "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Documents de travail du Centre d'Economie de la Sorbonne 14092, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  25. Borgy, V. & Laubach, T. & Mésonnier, J-S. & Renne, J-P., 2011. "Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets," Working papers 350, Banque de France.
  26. Francisco Nadal De Simone & Franco Stragiotti, 2010. "Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector," BCL working papers 45, Central Bank of Luxembourg.
  27. Gabriel Perez-Quiros & Hugo Rodríguez Mendizábal, 2010. "Asymmetric standing facilities: an unexploited monetary policy tool," Banco de Espa�a Working Papers 1004, Banco de Espa�a.
  28. Andrea Pallavicini & Damiano Brigo, 2013. "Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs," Papers 1304.1397, arXiv.org.
  29. Uwe Vollmer & Ralf Bebenroth, 2012. "The Financial Crisis in Japan: Causes and Policy Reactions by the Bank of Japan," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 9(1), pages 51-77, April.
  30. Acharya, Viral V. & Imbierowicz, Björn & Steffen, Sascha & Teichmann, Daniel, 2015. "Does Lack of Financial Stability Impair the Transmission of Monetary Policy?," HIT-REFINED Working Paper Series 24, Institute of Economic Research, Hitotsubashi University.
  31. Carpenter, Seth & Demiralp, Selva & Eisenschmidt, Jens, 2014. "The effectiveness of non-standard monetary policy in addressing liquidity risk during the financial crisis: The experiences of the Federal Reserve and the European Central Bank," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 107-129.
  32. Hilberg, Björn & Hollmayr, Josef, 2013. "Asset prices, collateral, and unconventional monetary policy in a DSGE model," Discussion Papers 36/2013, Deutsche Bundesbank, Research Centre.
  33. Jan Willem van den End & Mark Kruidhof, 2012. "Modelling the liquidity ratio as macroprudential instrument," DNB Working Papers 342, Netherlands Central Bank, Research Department.
  34. Nicola Moreni & Andrea Pallavicini, 2010. "Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics," Papers 1011.0828, arXiv.org.
  35. Guillermo Andrés Cangrejo Jiménez, 2014. "La Estructura a Plazos del Riesgo Interbancario," DOCUMENTOS DE TRABAJO 012172, UNIVERSIDAD DEL ROSARIO.
  36. Damiano Brigo & Andrea Pallavicini, 2014. "CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach," Papers 1401.3994, arXiv.org.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.