IDEAS home Printed from https://ideas.repec.org/r/eee/jfinec/v62y2001i2p247-292.html
   My bibliography  Save this item

Convergence trading with wealth effects: an amplification mechanism in financial markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. repec:eee:eneeco:v:69:y:2018:i:c:p:140-154 is not listed on IDEAS
  2. Gromb, Denis & Vayanos, Dimitri, 2002. "Equilibrium and welfare in markets with financially constrained arbitrageurs," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 361-407.
  3. 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.
  4. Adrian, Tobias, 2009. "Inference, arbitrage, and asset price volatility," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 49-64, January.
  5. Shahzad, Syed Jawad Hussain & Kumar, Ronald Ravinesh & Ali, Sajid & Ameer, Saba, 2016. "Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 8-33.
  6. repec:eee:finsta:v:33:y:2017:i:c:p:226-243 is not listed on IDEAS
  7. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
  8. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
  9. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, Elsevier.
  10. Dimitri Vayanos & Peter Kondor, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," 2014 Meeting Papers 912, Society for Economic Dynamics.
  11. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility Across Financial Crises," Working Papers 2010-08, CEPII research center.
  12. Tepper, Alexander & Borowiecki, Karol Jan, 2014. "A leverage-based measure of financial instability," Staff Reports 688, Federal Reserve Bank of New York.
  13. Denis Gromb & Dimitri Vayanos, 2018. "The Dynamics of Financially Constrained Arbitrage," Journal of Finance, American Finance Association, vol. 73(4), pages 1713-1750, August.
  14. Zhiguo He & Arvind Krishnamurthy, 2008. "A Model of Capital and Crises," NBER Working Papers 14366, National Bureau of Economic Research, Inc.
  15. Daskalaki, Charoula & Skiadopoulos, George, 2016. "The effects of margin changes on commodity futures markets," Journal of Financial Stability, Elsevier, vol. 22(C), pages 129-152.
  16. Tobias Adrian & Paolo Colla & Hyun Song Shin, 2013. "Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007 to 2009," NBER Macroeconomics Annual, University of Chicago Press, vol. 27(1), pages 159-214.
  17. Poon, Ser-Huang & Rockinger, Michael & Stathopoulos, Konstantinos, 2013. "Market liquidity and institutional trading during the 2007–8 financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 86-97.
  18. Oehmke, Martin, 2014. "Liquidating illiquid collateral," LSE Research Online Documents on Economics 84518, London School of Economics and Political Science, LSE Library.
  19. José-Luis Peydró & Puriya Abbassi & Rajkamal Iyer & Francesc R Tous, 2015. "Securities Trading by Banks and Credit Supply: Micro-Evidence," Working Papers 848, Barcelona Graduate School of Economics.
  20. Heaton, John C. & Lucas, Deborah & McDonald, Robert L., 2010. "Is mark-to-market accounting destabilizing? Analysis and implications for policy," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 64-75, January.
  21. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
  22. 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.
  23. Bahman Angoshtari, 2016. "On the Market-Neutrality of Optimal Pairs-Trading Strategies," Papers 1608.08268, arXiv.org.
  24. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc.
  25. Ewerhart, C. & Valla, N., 2007. "Forced Portfolio Liquidation," Working papers 179, Banque de France.
  26. repec:eee:pacfin:v:45:y:2017:i:c:p:91-102 is not listed on IDEAS
  27. Robin Greenwood & Dimitri Vayanos, 2014. "Bond Supply and Excess Bond Returns," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 663-713.
  28. J. Scheinkman & W. Xiong, 2002. "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers 98734966f1c1a57373801367f, David K. Levine.
  29. John Kambhu, 2004. "Trading risk and volatility in interest rate swap spreads," Staff Reports 178, Federal Reserve Bank of New York.
  30. Karlis, Alexandros & Galanis, Giorgos & Terovitis, Spyridon & Turner, Matthew, 2015. "Heterogeneity and Clustering of Defaults," The Warwick Economics Research Paper Series (TWERPS) 1083, University of Warwick, Department of Economics.
  31. Oehmke, Martin, 2014. "Liquidating illiquid collateral," Journal of Economic Theory, Elsevier, vol. 149(C), pages 183-210.
  32. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance finance:201003, Griffith University, Department of Accounting, Finance and Economics.
  33. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "ETF arbitrage: Intraday evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3486-3498.
  34. Kapadia, Nikunj & Pu, Xiaoling, 2012. "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, vol. 105(3), pages 542-564.
  35. John Kambhu, 2006. "Trading risk, market liquidity, and convergence trading in the interest rate swap spread," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 1-13.
  36. repec:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0631-3 is not listed on IDEAS
  37. Abbassi, Puriya & Iyer, Rajkamal & Peydró, José-Luis & Tous, Francesc R., 2016. "Securities trading by banks and credit supply: Micro-evidence from the crisis," Journal of Financial Economics, Elsevier, vol. 121(3), pages 569-594.
  38. Bernardo, Antonio E. & Welch, Ivo, 2013. "Leverage and preemptive selling of financial institutions," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 123-151.
  39. Alexandre D'Aspremont, 2010. "Identifying small mean-reverting portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 351-364.
  40. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
  41. Attari, Mukarram & Mello, Antonio S., 2006. "Financially constrained arbitrage in illiquid markets," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2793-2822, December.
  42. Markus K. Brunnermeier & Thomas M. Eisenbach & Yuliy Sannikov, 2012. "Macroeconomics with Financial Frictions: A Survey," Levine's Working Paper Archive 786969000000000384, David K. Levine.
  43. Craig Furfine & Eli M. Remolona, 2005. "Price discovery in a market under stress: the U.S. Treasury market in fall 1998," Working Paper Series WP-05-06, Federal Reserve Bank of Chicago.
  44. Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
  45. Eric van Wincoop & Cedric Tille & Philippe Bacchetta, 2010. "On the Dynamics of Leverage, Liquidity, and Risk," 2010 Meeting Papers 393, Society for Economic Dynamics.
  46. Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  47. Dewachter, Hans & Wouters, Raf, 2014. "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 241-268.
  48. Krishnamurthy, Arvind, 2002. "The bond/old-bond spread," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 463-506.
  49. Albert S. Kyle, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, August.
  50. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.
  51. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, Elsevier.
  52. Coudert, Virginie & Gex, Mathieu, 2010. "Contagion inside the credit default swaps market: The case of the GM and Ford crisis in 2005," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 109-134, April.
  53. Ijaz Ur Rehman & Nurul Shahnaz Mahdzan & Rozaimah Zainudin, 2016. "Is the relationship between macroeconomy and stock market liquidity mutually reinforcing? Evidence from an emerging market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 294-316.
  54. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
  55. He, Zhiguo & Kelly, Bryan & Manela, Asaf, 2017. "Intermediary asset pricing: New evidence from many asset classes," Journal of Financial Economics, Elsevier, vol. 126(1), pages 1-35.
  56. Winter, Christoph & Kraus, Beatrice, 2016. "Do Tax Changes Affect Credit Markets and Financial Frictions? Evidence from Credit Spreads," Annual Conference 2016 (Augsburg): Demographic Change 145636, Verein für Socialpolitik / German Economic Association.
  57. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012. "Endogenous Extreme Events and the Dual Role of Prices," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 111-129, July.
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.