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Citations for "Liquidity Black Holes"

by Stephen Morris & Hyun Song Shin

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  1. Ana Fostel & John Geanakoplos, 2008. "Emerging Markets in an Anxious Global Economy," Cowles Foundation Discussion Papers 1646, Cowles Foundation for Research in Economics, Yale University.
  2. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
  3. Zhiguo He & Wei Xiong, 2012. "Rollover Risk and Credit Risk," Journal of Finance, American Finance Association, vol. 67(2), pages 391-430, 04.
  4. Markus K. Brunnermeier & Lasse Heje Pederson, 2003. "Predatory trading," LSE Research Online Documents on Economics 24829, London School of Economics and Political Science, LSE Library.
  5. Fernando Avalos & Ramon Moreno & Tania Romero, 2015. "Leverage on the buy side," BIS Working Papers 517, Bank for International Settlements.
  6. Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012. "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, vol. 105(1), pages 82-112.
  7. Bank for International Settlements, 2008. "Why is there so little regional financial integration in Asia?," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 38-61 Bank for International Settlements.
  8. Osler, Carol & Savaser, Tanseli, 2011. "Extreme returns: The case of currencies," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2868-2880, November.
  9. Ricardo Correa & Kuan-Hui Lee & Horacio Sapriza & Gustavo A. Suarez, 2012. "Sovereign credit risk, banks' government support, and bank stock returns around the world," International Finance Discussion Papers 1069, Board of Governors of the Federal Reserve System (U.S.).
  10. Gianni De Nicolo & Iryna V. Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," IMF Working Papers 09/52, International Monetary Fund.
  11. Wagner, W.B., 2006. "Diversification at Financial Institutions and Systemic Crises," Discussion Paper 2006-71, Tilburg University, Center for Economic Research.
  12. Tijmen Daniëls & Henk Jager & Franc Klaassen, 2009. "Defending Against Speculative Attacks," SFB 649 Discussion Papers SFB649DP2009-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  13. Guerrieri, Veronica & Kondor, Péter, 2011. "Fund Managers, Career Concerns, and Asset Price Volatility," CEPR Discussion Papers 8454, C.E.P.R. Discussion Papers.
  14. Segura, Anatoli & Suarez, Javier, 2011. "Liquidity shocks, roll-over risk and debt maturity," CEPR Discussion Papers 8324, C.E.P.R. Discussion Papers.
  15. Douch, Mohamed & Farooq, Omar & Bouaddi, Mohammed, 2015. "Stock price synchronicity and tails of return distribution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 1-11.
  16. Francisco Penaranda & Jon Danielsson, 2007. "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," FMG Discussion Papers dp586, Financial Markets Group.
  17. Lucian A. Bebchuk & Itay Goldstein, 2010. "Self-Fulfilling Credit Market Freezes," NBER Working Papers 16031, National Bureau of Economic Research, Inc.
  18. Liu, Xuewen & Mello, Antonio S., 2011. "The fragile capital structure of hedge funds and the limits to arbitrage," Journal of Financial Economics, Elsevier, vol. 102(3), pages 491-506.
  19. Ana Fostel & John Geanakoplos, 2004. "Collateral Restrictions and Liquidity Under-Supply: A Simple Model," Cowles Foundation Discussion Papers 1468R, Cowles Foundation for Research in Economics, Yale University, revised Aug 2006.
  20. Gianni De Nicolò & Iryna Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," CESifo Working Paper Series 2598, CESifo Group Munich.
  21. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 418-437, July.
  22. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
  23. Acharya, Viral V & Viswanathan, S. Vish, 2008. "Moral Hazard, Collateral and Liquidity," CEPR Discussion Papers 6630, C.E.P.R. Discussion Papers.
  24. Bruno, Randolph Luca, 2008. "Rule of Law, Institutional Quality and Information," IZA Discussion Papers 3497, Institute for the Study of Labor (IZA).
  25. Manuel Ammann & Stephan Markus Kessler, 2009. "Intraday characteristics of stock price crashes," Applied Financial Economics, Taylor & Francis Journals, vol. 19(15), pages 1239-1255.
  26. Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2009. "Crisis Resolution and Bank Liquidity," NBER Working Papers 15567, National Bureau of Economic Research, Inc.
  27. Junnosuke Shino, 2011. "A Global Game Analysis of Emergent Liquidity Provision and the Role of Creditors' Aggregate Behavior as Signaling," Bank of Japan Working Paper Series 11-E-7, Bank of Japan.
  28. Frey, Rainer, 2015. "Multinational banks' deleveraging in the crisis driven by pre-crisis characteristics and behavior," Discussion Papers 18/2015, Deutsche Bundesbank, Research Centre.
  29. Alexis Derviz, 2013. "Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks," Working Papers 2013/11, Czech National Bank, Research Department.
  30. Sumila Tharanga Wanaguru, 2011. "Carry Trades and Financial Crisis: An Analytical Perspective," CAMA Working Papers 2011-33, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  31. Zhiguo He & Wei Xiong, 2009. "Dynamic Debt Runs," NBER Working Papers 15482, National Bureau of Economic Research, Inc.
  32. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.
  33. Filippo Taddei, 2007. "Liquidity and the Allocation of Credit: Business Cycle, Government Debt and Financial Arrangements," Carlo Alberto Notebooks 65, Collegio Carlo Alberto.
  34. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  35. Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2015. "Investment Horizons and Price Indeterminacy in Financial Markets," Cowles Foundation Discussion Papers 2001, Cowles Foundation for Research in Economics, Yale University.
  36. Acharya, Viral V & Shin, Hyun Song & Yorulmazer, Tanju, 2007. "Fire Sales, Foreign Entry and Bank Liquidity," CEPR Discussion Papers 6309, C.E.P.R. Discussion Papers.
  37. Olli Castrén, 2006. "Do Financial Market Variables Show Indicator Properties Relative to Exchange Rate Returns?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 142(1), pages 165-180, April.
  38. Shin, Hyun Song, 2008. "Risk and liquidity in a system context," Journal of Financial Intermediation, Elsevier, vol. 17(3), pages 315-329, July.
  39. Assaf Razin & Itay Goldstein, 2012. "Review Of Theories of Financial Crises," 2012 Meeting Papers 214, Society for Economic Dynamics.
  40. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
  41. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
  42. Christian Hellwig, . "Policy in a Global Coordination Game: Multiplicity vs. Robust Predictions (November 2006, with Marios Angeletos and Alessandro Pavan)," UCLA Economics Online Papers 401, UCLA Department of Economics.
  43. Rainer Masera, 2014. "CRR/CRD IV: the trees and the forest," PSL Quarterly Review, Economia civile, vol. 67(271), pages 381-422.
  44. Markus K. Brunnermeier, 2008. "Deciphering the Liquidity and Credit Crunch 2007-08," NBER Working Papers 14612, National Bureau of Economic Research, Inc.
  45. Frankel, David M., 2012. "Recurrent crises in global games," Journal of Mathematical Economics, Elsevier, vol. 48(5), pages 309-321.
  46. Pan, Deng & Shi, Jing & Wu, Fei & Zhang, Bohui, 2015. "Investor heterogeneity and commonality in stock return and liquidity," Economic Systems, Elsevier, vol. 39(3), pages 458-473.
  47. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  48. Christiansen, Charlotte & Ranaldo, Angelo, 2009. "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1048-1057, June.
  49. Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, vol. 236(1), pages 282-291.
  50. Ivan Werning & George-Marios Angeletos, 2005. "Crises and Prices: Information Aggregation, Multiplicity and Volatility," 2005 Meeting Papers 284, Society for Economic Dynamics.
  51. Acharya, Viral & Song Shin, Hyun & Yorulmazer, Tanju, 2009. "Endogenous choice of bank liquidity: the role of fire sales," Bank of England working papers 376, Bank of England.
  52. Andrew Ellul & Chotibhak Jotikasthira & Christian T. Lundblad & Yihui Wang, 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.
  53. Cella, Cristina & Ellul, Andrew & Giannetti, Mariassunta, 2010. "Investors' horizons and the Amplification of Market Shocks," CEPR Discussion Papers 8083, C.E.P.R. Discussion Papers.
  54. Ernesto Pastén, 2011. "Time - Consistent Bailout Plans," Working Papers Central Bank of Chile 635, Central Bank of Chile.
  55. Osler, Carol L., 2005. "Stop-loss orders and price cascades in currency markets," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 219-241, March.
  56. Chen, Qi & Goldstein, Itay & Jiang, Wei, 2010. "Payoff complementarities and financial fragility: Evidence from mutual fund outflows," Journal of Financial Economics, Elsevier, vol. 97(2), pages 239-262, August.
  57. Jose M P Jorge, 2007. "Financial System Architecture: The Role of Systemic Risk, Added Value and Liquidity," Money Macro and Finance (MMF) Research Group Conference 2006 155, Money Macro and Finance Research Group.
  58. Sudipto Bhattacharya & Charles Goodhart & Dimitrios Tsomocos & Alexandros Vardoulakis, 2011. "Minsky’s Financial Instability Hypothesis and the Leverage Cycle," FMG Special Papers sp202, Financial Markets Group.
  59. Guillaume Plantin & Haresh Sapra & Hyun Song Shin, 2004. "Fair Value Reporting Standards and Market Volatility," Sciences Po publications info:hdl:2441/70ur20flu79, Sciences Po.
  60. Jaakko Niskanen & Heidi Falkenbach, 2011. "Liquidity of European real estate equities: REITs and REOCs," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 16(2), pages 173-187, May.
  61. Kim, Soon-Ho & Lee, Kuan-Hui, 2014. "Pricing of liquidity risks: Evidence from multiple liquidity measures," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 112-133.
  62. Randolph Luca Bruno, 2006. "Unique Equilibrium in a Model of Rule of Law," LEM Papers Series 2006/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  63. Bernardo, Antonio E. & Welch, Ivo, 2013. "Leverage and preemptive selling of financial institutions," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 123-151.
  64. Selcuk, Cemil, 2012. "Distressed sales and liquidity in OTC markets," MPRA Paper 38188, University Library of Munich, Germany.
  65. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, vol. 99(1), pages 136-161, January.
  66. J. Daniel Aromí, 2013. "Pre-play Research in a Model of Bank Runs," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 59, pages 57-86, January-D.
  67. Aviad Heifetz & Willemien Kets, 2013. "Robust Multiplicity with a Grain of Naiveté," Discussion Papers 1573, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  68. Panetta, I. C. & Porretta, P., 2009. "Il rischio di liquidità: regolamentazione e best practice
    [Liquidity Risk: Supervisory Models and Best Practices]
    ," MPRA Paper 36358, University Library of Munich, Germany.
  69. Dennis Quinn & Hans-Joachim Voth, 2010. "Free Flows, Limited Diversification: Openness and the Fall and Rise of Stock Market Correlations, 1890-2001," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 7-39 National Bureau of Economic Research, Inc.
  70. Koch, Nicolas, 2014. "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 195-205.
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