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Information, Liquidity, and the (Ongoing) Panic of 2007

Citations

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Cited by:

  1. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
  2. Ivonne A. Liebenberg & Zhilu Lin, 2019. "The Effect of Diversification under Different Ownership Structures and Economic Conditions: Evidence from the Great Recession," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-1, May.
  3. Flavin, Thomas J. & Sheenan, Lisa, 2015. "The role of U.S. subprime mortgage-backed assets in propagating the crisis: Contagion or interdependence?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 167-186.
  4. Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.
  5. Suraj Kumar & Krishna Prasanna, 2019. "Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 339-362, December.
  6. Giovanni, Calice, 2011. "The subprime asset-backed securities market and the equity prices of large complex financial institutions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 585-604, October.
  7. Andrew Ang & Dimitris Papanikolaou & Mark M. Westerfield, 2014. "Portfolio Choice with Illiquid Assets," Management Science, INFORMS, vol. 60(11), pages 2737-2761, November.
  8. László Békési & Lorant Kaszab & Szabolcs Szentmihályi, 2017. "The EAGLE model for Hungary - a global perspective," MNB Working Papers 2017/7, Magyar Nemzeti Bank (Central Bank of Hungary).
  9. Soedarmono, Wahyoe & Sitorus, Djauhari & Tarazi, Amine, 2017. "Abnormal loan growth, credit information sharing and systemic risk in Asian banks," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1208-1218.
  10. Gorton, Gary & Metrick, Andrew, 2012. "Securitized banking and the run on repo," Journal of Financial Economics, Elsevier, vol. 104(3), pages 425-451.
  11. Thomas L. Hogan & G. P. Manish, 2016. "Banking Regulation and Knowledge Problems," Advances in Austrian Economics, in: Steven Horwitz (ed.),Studies in Austrian Macroeconomics, volume 20, pages 213-234, Emerald Publishing Ltd.
  12. Gregory Connor, 2009. "The Risky Lending Gap," Economics, Finance and Accounting Department Working Paper Series n2010809.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  13. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
  14. King, Michael R., 2019. "Time to buy or just buying time? Lessons from October 2008 for the cross-border bailout of banks," Journal of Financial Stability, Elsevier, vol. 41(C), pages 55-72.
  15. Simon Gilchrist & Egon Zakrajsek, 2012. "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.
  16. Giampaolo Gabbi & Alesia Kalbaska & Alessandro Vercelli, 2014. "Factors generating and transmitting the financial crisis: The role of incentives: securitization and contagion," Working papers wpaper56, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
  17. Eickmeier, Sandra & Hofmann, Boris, 2013. "Monetary Policy, Housing Booms, And Financial (Im)Balances," Macroeconomic Dynamics, Cambridge University Press, vol. 17(4), pages 830-860, June.
  18. Morrison, Alan D. & White, Lucy, 2013. "Reputational contagion and optimal regulatory forbearance," Journal of Financial Economics, Elsevier, vol. 110(3), pages 642-658.
  19. Bhat, Gauri & Frankel, Richard & Martin, Xiumin, 2011. "Panacea, Pandora's box, or placebo: Feedback in bank mortgage-backed security holdings and fair value accounting," Journal of Accounting and Economics, Elsevier, vol. 52(2), pages 153-173.
  20. Guo, Feng & McCulloch, J.H., 2017. "Heterogeneous capital and misintermediation," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 16-41.
  21. Stephan Fahr & Roberto Motto & Massimo Rostagno & Frank Smets & Oreste Tristani, 2013. "A monetary policy strategy in good and bad times: lessons from the recent past," Economic Policy, CEPR;CES;MSH, vol. 28(74), pages 243-288, April.
  22. Eickmeier, Sandra & Ng, Tim, 2015. "How do US credit supply shocks propagate internationally? A GVAR approach," European Economic Review, Elsevier, vol. 74(C), pages 128-145.
  23. Camargo, Braz & Lester, Benjamin, 2014. "Trading dynamics in decentralized markets with adverse selection," Journal of Economic Theory, Elsevier, vol. 153(C), pages 534-568.
  24. Mardi Dungey & Gerald Dwyer & Thomas Flavin, 2013. "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Open Economies Review, Springer, vol. 24(1), pages 5-32, February.
  25. Jamus Jerome Lim & Terence Tan, 2016. "Endogenous transactions costs and institutions in the 2007/08 financial crisis," Journal of Regulatory Economics, Springer, vol. 49(1), pages 56-85, February.
  26. Martín-Oliver, Alfredo & Ruano, Sonia & Salas-Fumás, Vicente, 2017. "The fall of Spanish cajas: Lessons of ownership and governance for banks," Journal of Financial Stability, Elsevier, vol. 33(C), pages 244-260.
  27. Gregory Waymire & Sudipta Basu, 2011. "Economic crisis and accounting evolution," Accounting and Business Research, Taylor & Francis Journals, vol. 41(3), pages 207-232, August.
  28. Roberto Motto & Massimo Rostagno & Lawrence J. Christiano, 2010. "Financial Factors in Economic Fluctuations," 2010 Meeting Papers 141, Society for Economic Dynamics.
  29. Nicolás Figueroa & Oksana Leukhina & Carlos Ramirez, 2018. "Imperfect Information Transmission from Banks to Investors: Macroeconomic Implications," Working Papers 2018-18, Federal Reserve Bank of St. Louis, revised 05 Dec 2019.
  30. Benchimol, Jonathan & Fourçans, André, 2019. "Central bank losses and monetary policy rules: A DSGE investigation," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 289-303.
  31. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
  32. Larry D. Wall, 2012. "Central banking for financial stability Some lessons from the recent instability in the US and euro area," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 247-280, August.
  33. Berrospide, Jose M. & Herrerias, Renata, 2015. "Finance companies in Mexico: Unexpected victims of the global liquidity crunch," Journal of Financial Stability, Elsevier, vol. 18(C), pages 33-54.
  34. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
  35. Juan Amador & José Gómez-González & Andrés Pabón, 2013. "Loan growth and bank risk: new evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 365-379, December.
  36. David Vera & Kazuki Onji & Prasanna Gai, 2014. "Are all financial crises created equal? Wholesale funding and two financial crises," Applied Economics, Taylor & Francis Journals, vol. 46(27), pages 3284-3299, September.
  37. Bernanke, B.S., 2011. "International capital flows and the returns to safe assets in the United States 2003-2007," Financial Stability Review, Banque de France, issue 15, pages 13-26, February.
  38. Jeong-Bon Kim & Li Li & Mary L. Z. Ma & Frank M. Song, 2013. "CEO Option Compensation, Risk-Taking Incentives, and Systemic Risk in the Banking Industry," Working Papers 182013, Hong Kong Institute for Monetary Research.
  39. Hryckiewicz, Aneta & Kozłowski, Łukasz, 2017. "Banking business models and the nature of financial crisis," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 1-24.
  40. Douglas W. Diamond & Raghuram G. Rajan, 2009. "Fear of Fire Sales and the Credit Freeze," NBER Working Papers 14925, National Bureau of Economic Research, Inc.
  41. Vasileiou Evangelos, 2017. "Why do we examine calendar anomalies only in financial markets? Month effect evidence from the Greek banking industry," Operational Research, Springer, vol. 17(1), pages 99-114, April.
  42. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
  43. Jean-Loup, Soula, 2017. "Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 302-313.
  44. Beltratti, Andrea & Spear, Nasser & Szabo, Mark Daniel, 2013. "The Value Relevance and Timeliness of Write-downs During the Financial Crisis of 2007–2009," The International Journal of Accounting, Elsevier, vol. 48(4), pages 467-494.
  45. Wäckerle, Manuel, 2013. "On the bottom-up foundations of the banking-macro nexus," Economics Discussion Papers 2013-5, Kiel Institute for the World Economy (IfW).
  46. Michael R King, 2009. "Time to buy or just buying time? The market reaction to bank rescue packages," BIS Working Papers 288, Bank for International Settlements.
  47. MichaŁ Brzoza-Brzezina & Marcin Kolasa, 2013. "Bayesian Evaluation of DSGE Models with Financial Frictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(8), pages 1451-1476, December.
  48. Simon Gilchrist & Egon Zakrajšek, 2011. "Monetary Policy and Credit Supply Shocks," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(2), pages 195-232, June.
  49. Heider, Florian & Hoerova, Marie & Holthausen, Cornelia, 2009. "Liquidity hoarding and interbank market spreads: the role of counterparty risk," Working Paper Series 1126, European Central Bank.
  50. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
  51. repec:oup:ecpoli:v:28:y:2013:i:74:p:243-288 is not listed on IDEAS
  52. Ricardo Reis, 2009. "Interpreting the Unconventional U.S. Monetary Policy of 2007-09," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(2 (Fall)), pages 119-182.
  53. Iftekhar HASAN & Jean-Loup SOULA, 2017. "Technical Efficiency in Bank Liquidity Creation," Working Papers of LaRGE Research Center 2017-08, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  54. Bliss, Barbara A. & Cheng, Yingmei & Denis, David J., 2015. "Corporate payout, cash retention, and the supply of credit: Evidence from the 2008–2009 credit crisis," Journal of Financial Economics, Elsevier, vol. 115(3), pages 521-540.
  55. King, Michael R., 2013. "The Basel III Net Stable Funding Ratio and bank net interest margins," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4144-4156.
  56. Benigno, Pierpaolo & Robatto, Roberto, 2019. "Private money creation, liquidity crises, and government interventions," Journal of Monetary Economics, Elsevier, vol. 106(C), pages 42-58.
  57. Eric Tong, 2018. "Collateral crises and unemployment," New Zealand Economic Papers, Taylor & Francis Journals, vol. 52(1), pages 72-90, January.
  58. Andolfatto, David & Berentsen, Aleksander & Waller, Christopher, 2014. "Optimal disclosure policy and undue diligence," Journal of Economic Theory, Elsevier, vol. 149(C), pages 128-152.
  59. Morrison, Alan D. & White, Lucy, 2010. "Reputational contagion and optimal regulatory forbearance," Working Paper Series 1196, European Central Bank.
  60. Tibor Szendrei & Katalin Varga, 2020. "FISS – A Factor-based Index of Systemic Stress in the Financial System," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 3-34, March.
  61. Robert N McCauley, 2019. "Safe assets: made, not just born," BIS Working Papers 769, Bank for International Settlements.
  62. Philippe Bacchetta, 2018. "The sovereign money initiative in Switzerland: an economic assessment," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-16, December.
  63. Jonathan Benchimol & André Fourçans, 2016. "Nominal income versus Taylor-type rules in practice," Working Papers hal-01357870, HAL.
  64. Foos, Daniel & Norden, Lars & Weber, Martin, 2010. "Loan growth and riskiness of banks," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2929-2940, December.
  65. Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George, 2012. "Volatility spillovers and the effect of news announcements," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2260-2273.
  66. Huizinga, Harry & Laeven, Luc, 2012. "Bank valuation and accounting discretion during a financial crisis," Journal of Financial Economics, Elsevier, vol. 106(3), pages 614-634.
  67. Wall, Larry D., 2012. "Central Banking for Financial Stability: Some Lessons from the Recent Instability in the United States and Euro Area," ADBI Working Papers 379, Asian Development Bank Institute.
  68. Lie-Jane Kao & Po-Cheng Wu & Tai-Yuan Chen, 2012. "Why Do Banks Default When Asset Quality Is High?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 83-96.
  69. Conor M. O'Toole & Carol Newman & Thia Hennessy, 2011. "The role of investment, fundamental Q and financing frictions in agricultural investment decisions: an analysis pre and post financial crisis," Working Papers 1101, Rural Economy and Development Programme,Teagasc.
  70. Kaihua Deng & Dun Jia, 2018. "Backtesting Stress Tests: A Guide for M2 Forward Guidance," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 443-471, November.
  71. Beltran, Daniel O. & Cordell, Larry & Thomas, Charles P., 2017. "Asymmetric information and the death of ABS CDOs," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 1-14.
  72. Gertler, M. & Kiyotaki, N. & Prestipino, A., 2016. "Wholesale Banking and Bank Runs in Macroeconomic Modeling of Financial Crises," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.),Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1345-1425, Elsevier.
  73. Allen, Franklin & Vayanos, Dimitri & Vives, Xavier, 2014. "Introduction to financial economics," Journal of Economic Theory, Elsevier, vol. 149(C), pages 1-14.
  74. Zhang, Simpson & van der Schaar, Mihaela, 2020. "Reputational dynamics in financial networks during a crisis," Journal of Financial Stability, Elsevier, vol. 49(C).
  75. Kazi, Irfan Akbar & Wagan, Hakimzadi & Akbar, Farhan, 2013. "The changing international transmission of U.S. monetary policy shocks: Is there evidence of contagion effect on OECD countries," Economic Modelling, Elsevier, vol. 30(C), pages 90-116.
  76. Helbling, Thomas & Huidrom, Raju & Kose, M. Ayhan & Otrok, Christopher, 2011. "Do credit shocks matter? A global perspective," European Economic Review, Elsevier, vol. 55(3), pages 340-353, April.
  77. Hryckiewicz, Aneta & Kozlowski, Lukasz, 2014. "Banking business models and the nature of financial crises," MPRA Paper 64072, University Library of Munich, Germany, revised 09 Mar 2015.
  78. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank.
  79. Marcin Kacperczyk & Philipp Schnabl, 2011. "Implicit Guarantees and Risk Taking: Evidence from Money Market Funds," NBER Working Papers 17321, National Bureau of Economic Research, Inc.
  80. Daskalaki, Charoula & Skiadopoulos, George, 2011. "Should investors include commodities in their portfolios after all? New evidence," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2606-2626, October.
  81. Lawrence R. Cordell & Yilin Huang & Meredith Williams, 2011. "Collateral damage: Sizing and assessing the subprime CDO crisis," Working Papers 11-30, Federal Reserve Bank of Philadelphia.
  82. Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1209-1231.
  83. Kahn, Charles M. & Wagner, Wolf, 2017. "Sources of Liquidity and Liquidity Shortages," CEPR Discussion Papers 12116, C.E.P.R. Discussion Papers.
  84. Carol C. Bertaut & Fang Cai & Nyssa Kim, 2013. "\"Fool Me Once . . . \" Did U.S. investors play it safer in the European debt crisis?," International Finance Discussion Papers 1088, Board of Governors of the Federal Reserve System (U.S.).
  85. Bluhm, Marcel & Krahnen, Jan Pieter, 2011. "Default risk in an interconnected banking system with endogeneous asset markets," CFS Working Paper Series 2011/19, Center for Financial Studies (CFS).
  86. Jonathan Benchimol & André Fourçans, 2017. "Monetary Rule, Central Bank Loss and Household’s Welfare: an Empirical Investigation," Globalization Institute Working Papers 329, Federal Reserve Bank of Dallas.
  87. Bengtsson, Elias, 2013. "Shadow banking and financial stability: European money market funds in the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 579-594.
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