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Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?

Citations

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Cited by:

  1. Ralph S. J. Koijen & Motohiro Yogo, 2015. "The Cost of Financial Frictions for Life Insurers," American Economic Review, American Economic Association, vol. 105(1), pages 445-475, January.
  2. Jobst, Andreas A., 2014. "Measuring systemic risk-adjusted liquidity (SRL)—A model approach," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 270-287.
  3. E. Chrétien & V. Lyonnet, 2017. "Traditional and Shadow Banks during the Crisis," Débats économiques et financiers 27, Banque de France.
  4. Timmer, Yannick, 2018. "Cyclical investment behavior across financial institutions," Journal of Financial Economics, Elsevier, vol. 129(2), pages 268-286.
  5. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
  6. Choi, Jaewon & Hoseinzade, Saeid & Shin, Sean Seunghun & Tehranian, Hassan, 2020. "Corporate bond mutual funds and asset fire sales," Journal of Financial Economics, Elsevier, vol. 138(2), pages 432-457.
  7. Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T. & Wang, Yihui, 2013. "Mark-to-market accounting and systemic risk: evidence from the insurance industry," LSE Research Online Documents on Economics 60968, London School of Economics and Political Science, LSE Library.
  8. Palea, Vera, 2019. "Accounting for Sustainable Finance: Does Fair value Accounting Fit for Long-term Investing in Equity?," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201912, University of Turin.
  9. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi, December.
  10. Ralph S. J. Koijen & Motohiro Yogo, 2016. "Shadow Insurance," Econometrica, Econometric Society, vol. 84, pages 1265-1287, May.
  11. Riedler, Jesper & Brueckbauer, Frank, 2017. "Evaluating regulation within an artificial financial system: A framework and its application to the liquidity coverage ratio regulation," ZEW Discussion Papers 17-022, ZEW - Leibniz Centre for European Economic Research.
  12. Douglas Gale & Tanju Yorulmazer, 2020. "Bank capital, fire sales, and the social value of deposits," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 69(4), pages 919-963, June.
  13. 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.
  14. Joseph Briggs & Christopher Tonetti, 2019. "Risky Insurance: Insurance Portfolio Choice with Incomplete Markets," 2019 Meeting Papers 1388, Society for Economic Dynamics.
  15. Chernenko, Sergey & Sunderam, Adi, 2016. "Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds," ESRB Working Paper Series 23, European Systemic Risk Board.
  16. Iñaki Aldasoro & Anne-Caroline Hüser & Christoffer Kok Sørensen, 2020. "Contagion Accounting," BIS Working Papers 908, Bank for International Settlements.
  17. Douglas, Graeme & Noss, Joseph & Vause, Nicholas, 2017. "The impact of Solvency II regulations on life insurers’ investment behaviour," Bank of England working papers 664, Bank of England.
  18. Fernando Duarte & Thomas M. Eisenbach, 2021. "Fire‐Sale Spillovers and Systemic Risk," Journal of Finance, American Finance Association, vol. 76(3), pages 1251-1294, June.
  19. Thomas L. Hogan, 2021. "A Review of the Regulatory Impact Analysis of Risk-Based Capital and Related Liquidity Rules," JRFM, MDPI, vol. 14(1), pages 1-29, January.
  20. David Musto & Greg Nini & Krista Schwarz, 2018. "Notes on Bonds: Illiquidity Feedback During the Financial Crisis," Review of Financial Studies, Society for Financial Studies, vol. 31(8), pages 2983-3018.
  21. Stijn Claessens, 2015. "An Overview of Macroprudential Policy Tools," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 397-422, December.
  22. William Fuchs & Andrzej Skrzypacz, 2019. "Costs and benefits of dynamic trading in a lemons market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 105-127, July.
  23. Bruno Biais & Florian Heider & Marie Hoerova, 2021. "Variation Margins, Fire Sales, and Information-constrained Optimality [Leverage, Moral Hazard, and Liquidity]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 2654-2686.
  24. Mr. Divya Kirti, 2017. "When Gambling for Resurrection is Too Risky," IMF Working Papers 2017/180, International Monetary Fund.
  25. Chernenko, Sergey & Sunderam, Adi, 2020. "Do fire sales create externalities?," Journal of Financial Economics, Elsevier, vol. 135(3), pages 602-628.
  26. Sergey Chernenko & Adi Sunderam, 2016. "Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds," NBER Working Papers 22391, National Bureau of Economic Research, Inc.
  27. Derrick W. H. Fung & David Jou & Ai Ju Shao & Jason J. H. Yeh, 2018. "The China Risk-Oriented Solvency System: A Comparative Assessment with Other Risk-Based Supervisory Frameworks," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(1), pages 16-36, January.
  28. Sen, Ishita & Humphry, David, 2018. "Capital regulation and product market outcomes," Bank of England working papers 715, Bank of England.
  29. Sergey Chernenko & Adi Sunderam, 2018. "Do Fire Sales Create Externalities?," NBER Working Papers 25104, National Bureau of Economic Research, Inc.
  30. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.
  31. Margrét Vilborg Bjarnadóttir & Louiqa Raschid, 2023. "Modeling Financial Products and Their Supply Chains," INFORMS Joural on Data Science, INFORMS, vol. 2(2), pages 138-160, October.
  32. Maurizio Trapanese, 2021. "The economics of non-bank financial intermediation: why do we need to fill the regulation gap?," Questioni di Economia e Finanza (Occasional Papers) 625, Bank of Italy, Economic Research and International Relations Area.
  33. Bradley Jones, 2016. "Institutionalizing Countercyclical Investment: A Framework for Long-term Asset Owners," IMF Working Papers 2016/038, International Monetary Fund.
  34. Federico Apicella & Raffaele Gallo & Giovanni Guazzarotti, 2022. "Insurers' investments before and after the Covid-19 outbreak," Temi di discussione (Economic working papers) 1363, Bank of Italy, Economic Research and International Relations Area.
  35. Aldasoro, Iñaki & Hüser, Anne-Caroline & Kok, Christoffer, 2022. "Contagion accounting in stress-testing," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
  36. Jansson, Walter, 2021. "Revisiting Subprime Pricing Irrationality During the Global Financial Crisis," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 3(2), pages 1-40, April.
  37. Leung, W.S. & Taylor, N. & Evans, K.P., 2015. "The determinants of bank risks: Evidence from the recent financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 277-293.
  38. Ralph S.J. Koijen & Motohiro Yogo, 2017. "Risk of Life Insurers: Recent Trends and Transmission Mechanisms," NBER Working Papers 23365, National Bureau of Economic Research, Inc.
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