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Citations for "Rollover Risk and Market Freezes"

by Viral V. Acharya & Douglas Gale & Tanju Yorulmazer

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  1. Robert McDonald & Anna Paulson, 2015. "AIG in Hindsight," Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 81-106, Spring.
  2. Roukny, Tarik & Georg, Co-Pierre & Battiston, Stefano, 2014. "A network analysis of the evolution of the German interbank market," Discussion Papers 22/2014, Deutsche Bundesbank, Research Centre.
  3. Franklin Allen & Ana Babus & Elena Carletti, 2010. "Financial Connections and Systemic Risk," Economics Working Papers ECO2010/26, European University Institute.
  4. Acharya, Viral V. & Skeie, David, 2011. "A model of liquidity hoarding and term premia in inter-bank markets," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 436-447.
  5. Andrea Pinna, 2014. "Indirect Contagion in an Originate-to-Distribute Banking Model," BEMPS - Bozen Economics & Management Paper Series BEMPS21, Faculty of Economics and Management at the Free University of Bozen.
  6. Kartik Anand & Prasanna Gai & Matteo Marsili, 2011. "Rollover risk, network structure and systemic financial crises," SFB 649 Discussion Papers SFB649DP2011-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. Allen, Franklin & Babus, Ana & Carletti, Elena, 2011. "Asset Commonality, Debt Maturity and Systemic Risk," CEPR Discussion Papers 8476, C.E.P.R. Discussion Papers.
  8. Vives, Xavier, 2011. "Strategic Complementarity, Fragility, and Regulation," CEPR Discussion Papers 8444, C.E.P.R. Discussion Papers.
  9. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
  10. Ernesto Pastén, 2011. "Time - Consistent Bailout Plans," Working Papers Central Bank of Chile 635, Central Bank of Chile.
  11. Spiros Bougheas, "undated". "Pooling, Tranching and Credit Expansion," Discussion Papers 12/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  12. Sophia Chen, 2015. "Uncertainty and Investment; The Financial Intermediary Balance Sheet Channel," IMF Working Papers 15/65, International Monetary Fund.
  13. Dangl, Thomas & Zechner, Josef, 2016. "Debt maturity and the dynamics of leverage," CFS Working Paper Series 547, Center for Financial Studies (CFS).
  14. Nath, Golaka, 2013. "Repo Market – A Tool to Manage Liquidity in Financial Institutions," MPRA Paper 51590, University Library of Munich, Germany.
  15. Matthieu Bouvard & Pierre Chaigneau & Adolfo de Motta, 2012. "Transparency in the financial system: rollover risk and crises," FMG Discussion Papers dp700, Financial Markets Group.
  16. Christian Gouriéroux & Jean-Cyprien Heam, 2013. "Funding Liquidity Risk from A Regulatory Perspective," Working Papers 2013-20, Centre de Recherche en Economie et Statistique.
  17. Efraim Benmelech & Eyal Dvir, 2011. "Does Short-Term Debt Increase Vulnerability to Crisis? Evidence from the East Asian Financial Crisis," NBER Working Papers 17468, National Bureau of Economic Research, Inc.
  18. Richard G. Anderson & Charles S. Gascon, 2009. "The commercial paper market, the Fed, and the 2007-2009 financial crisis," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 589-612.
  19. Meg Adachi-Sato & Chaiporn Vithessonthi, 2016. "Corporate Debt Maturity and Future Firm Performance Volatility," PIER Discussion Papers 29., Puey Ungphakorn Institute for Economic Research, revised May 2016.
  20. Jean-Loup SOULA, 2015. "Measuring heterogeneity in bank liquidity risk: who are the winners and the losers?," Working Papers of LaRGE Research Center 2015-09, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  21. Chiu, Ching-Wai (Jeremy) & Hill, John, 2015. "The rate elasticity of retail deposits in the United Kingdom: a macroeconomic investigation," Bank of England working papers 540, Bank of England.
  22. 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.
  23. Tobias Adrian & Karin Kimbrough & Dina Marchioni, 2011. "The Federal Reserve’s Commercial Paper Funding Facility," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 25-39.
  24. Enrico Perotti & Javier Suarez, 2011. "A Pigovian Approach to Liquidity Regulation," Tinbergen Institute Discussion Papers 11-040/2/DSF15, Tinbergen Institute.
  25. Spiros Bougheas & Alan P. Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," CESifo Working Paper Series 4756, CESifo Group Munich.
  26. Edward J. Green, 2010. "Bailouts," Economic Quarterly, Federal Reserve Bank of Richmond, issue 1Q, pages 11-32.
  27. Iachan, Felipe S. & Nenov, Plamen T., 2015. "Information quality and crises in regime-change games," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 739-768.
  28. Ranaldo, Angelo & Wrampelmeyer, Jan, 2016. "Unsecured and Secured Funding," Working Papers on Finance 1616, University of St. Gallen, School of Finance.
  29. Moore, Kyle & Zhou, Chen, 2013. ""Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance," MPRA Paper 45589, University Library of Munich, Germany.
  30. Georg, Co-Pierre, 2014. "Contagious herding and endogenous network formation in financial networks," Discussion Papers 23/2014, Deutsche Bundesbank, Research Centre.
  31. Martin, Antoine & Skeie, David & Thadden, Ernst-Ludwig von, 2013. "The Fragility of Short-Term Secured Funding Markets," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 449, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  32. Szarowska, Irena, 2013. "Can tax policy co-cause the crisis?," MPRA Paper 59780, University Library of Munich, Germany.
  33. Arianna Miglietta & Cristina Picillo & Mario Pietrunti, 2015. "The impact of CCPs� margin policies on Repo markets," Temi di discussione (Economic working papers) 1028, Bank of Italy, Economic Research and International Relations Area.
  34. Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.
  35. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
  36. A. Pinna, 2014. "Shall We Keep Early Diers Alive?," Working Paper CRENoS 201411, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  37. Spiros Bougheas & Alan Kirman, 2015. "Bank Insolvencies, Priority Claims and Systemic Risk," Discussion Papers 2015/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  38. Lucian A. Bebchuk & Itay Goldstein, 2010. "Self-Fulfilling Credit Market Freezes," NBER Working Papers 16031, National Bureau of Economic Research, Inc.
  39. : Gianni De Nicolo & Andrea Gamba & Marcella Lucchetta, 2012. "Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking," Working Papers wpn12-04, Warwick Business School, Finance Group.
  40. Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2013. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky," Finance, Presses universitaires de Grenoble, vol. 34(1), pages 7-41.
  41. Gary Gorton & Andrew Metrick, 2010. "Securitized Banking and the Run on Repo," NBER Chapters, in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
  42. Andrei Shleifer & Robert W. Vishny, 2009. "Unstable Banking," NBER Working Papers 14943, National Bureau of Economic Research, Inc.
  43. Pierluigi Bologna, 2011. "Is there a role for funding in explaining recent US bank failures?," Questioni di Economia e Finanza (Occasional Papers) 103, Bank of Italy, Economic Research and International Relations Area.
  44. Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2013. "Granularity of corporate debt," CFS Working Paper Series 2013/26, Center for Financial Studies (CFS).
  45. Kraenzlin, Sébastien & Nellen, Thomas, 2015. "Access policy and money market segmentation," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 1-12.
  46. Franklin Allen & Elena Carletti, 2013. "Financial Markets, Institutions and Liquidity," RBA Annual Conference Volume, in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.), Liquidity and Funding Markets Reserve Bank of Australia.
  47. Giovanni Ferri & Angelo Leogrande, 2015. "Was the Crisis Due to a Shift from Stakeholder to Shareholder Finance? Surveying the Debate," Euricse Working Papers 1576, Euricse (European Research Institute on Cooperative and Social Enterprises).
  48. Anatoli Segura & Javier Suarez, 2016. "How excessive is banks’ maturity transformation?," Temi di discussione (Economic working papers) 1065, Bank of Italy, Economic Research and International Relations Area.
  49. Angelo Baglioni, 2012. "Liquidity Crunch in the Interbank Market: Is it Credit or Liquidity Risk, or Both?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(1), pages 1-18, April.
  50. Douglas Gale & Tanju Yorulmazer, 2011. "Liquidity Hoarding," FMG Discussion Papers dp682, Financial Markets Group.
  51. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2016. "Hot money in bank credit flows to emerging markets during the banking globalization era," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 29-52.
  52. Stephen Morris & Hyun Song Shin, 2010. "Contagious Adverse Selection," Working Papers 1251, Princeton University, Department of Economics, Econometric Research Program..
  53. Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
  54. Rocco Huang & Lev Ratnovski, 2009. "The dark side of bank wholesale funding," Working Papers 09-3, Federal Reserve Bank of Philadelphia, revised 01 Jun 2010.
  55. Bierbrauer, Felix, 2014. "Tax incidence for fragile financial markets," Journal of Public Economics, Elsevier, vol. 120(C), pages 107-125.
  56. 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.
  57. Norden, Lars & Roosenboom, Peter & Wang, Teng, 2016. "The effects of corporate bond granularity," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 25-34.
  58. Milbradt, Konstantin & Oehmke, Martin, 2015. "Maturity rationing and collective short-termism," Journal of Financial Economics, Elsevier, vol. 118(3), pages 553-570.
  59. Silvia Gabrieli and Co-Pierre Georg, 2015. "A Network View on Interbank Market Freezes," Working Papers 488, Economic Research Southern Africa.
  60. Anatoli Segura & Javier Suarez, 2011. "Dinamic Maturity Transformation," Working Papers wp2011_1105, CEMFI.
  61. Ramana Nanda & Matthew Rhodes-Kropf, 2015. "Financing Entrepreneurial Experimentation," NBER Working Papers 21278, National Bureau of Economic Research, Inc.
  62. Aiyar, Shekhar, 2011. "How did the crisis in international funding markets affect bank lending? Balance sheet evidence from the United Kingdom," Bank of England working papers 424, Bank of England.
  63. Leony, Larissa & Romeu, Rafael, 2011. "A model of bank lending in the global financial crisis and the case of Korea," Journal of Asian Economics, Elsevier, vol. 22(4), pages 322-334, August.
  64. 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.
  65. Thierfelder, Felix, 2012. "Maturity shortening and market failure," Discussion Papers 06/2012, Deutsche Bundesbank, Research Centre.
  66. Gary Gorton & Andrew Metrick, 2010. "Regulating the Shadow Banking System," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(2 (Fall)), pages 261-312.
  67. Kartik Anand & Prasanna Gai & Matteo Marsili, 2009. "Financial crises and the evaporation of trust," Papers 0911.3099, arXiv.org.
  68. Kyle Moore & Chen Zhou, 2012. "Identifying systemically important financial institutions: size and other determinants," DNB Working Papers 347, Netherlands Central Bank, Research Department.
  69. Andrey Krishenik & Andreea Minca & Johannes Wissel, 2015. "When do creditors with heterogeneous beliefs agree to run?," Finance and Stochastics, Springer, vol. 19(2), pages 233-259, April.
  70. Konstantin Milbradt & Martin Oehmke, 2014. "Maturity Rationing and Collective Short-Termism," NBER Working Papers 19946, National Bureau of Economic Research, Inc.
  71. Zhang, Lei & Zhang, Lin & Zheng, Yong, 2013. "Wholesale Funding, Coordination, and Credit Risk," CAGE Online Working Paper Series 124, Competitive Advantage in the Global Economy (CAGE).
  72. Bernardo, Antonio E. & Welch, Ivo, 2013. "Leverage and preemptive selling of financial institutions," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 123-151.
  73. 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;Western Finance Association, vol. 44(2), pages 175-186, October.
  74. Amidu, Mohammed, 2013. "The effects of the structure of banking market and funding strategy on risk and return," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 143-155.
  75. Daniel M. Covitz & J. Nellie Liang & Gustavo A. Suarez, 2009. "The evolution of a financial crisis: panic in the asset-backed commercial paper market," Finance and Economics Discussion Series 2009-36, Board of Governors of the Federal Reserve System (U.S.).
  76. Ranaldo, Angelo & Rupprecht, Matthias & Wrampelmeyer, Jan, 2016. "Fragility of Money Markets," Working Papers on Finance 1601, University of St. Gallen, School of Finance, revised Apr 2016.
  77. Tümer Kapan & Camelia Minoiu, 2013. "Balance Sheet Strength and Bank Lending During the Global Financial Crisis," IMF Working Papers 13/102, International Monetary Fund.
  78. Hajime Tomura, 2012. "Asset Illiquidity and Market Shutdowns in Competitive Equilibrium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 283-294, July.
  79. Bruche, Max & Suarez, Javier, 2010. "Deposit insurance and money market freezes," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 45-61, January.
  80. repec:dau:papers:123456789/9297 is not listed on IDEAS
  81. Massimiliano Affinito, 2013. "Central bank refinancing, interbank markets, and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Temi di discussione (Economic working papers) 928, Bank of Italy, Economic Research and International Relations Area.
  82. Paltalidis, Nikos & Gounopoulos, Dimitrios & Kizys, Renatas & Koutelidakis, Yiannis, 2015. "Transmission channels of systemic risk and contagion in the European financial network," Journal of Banking & Finance, Elsevier, vol. 61(S1), pages 36-52.
  83. Pierluigi Morelli & Giovanni Pittaluga & Elena Seghezza, 2015. "The role of the Federal Reserve as an international lender of last resort during the 2007–2008 financial crisis," International Economics and Economic Policy, Springer, vol. 12(1), pages 93-106, March.
  84. Philip Bond & Yaron Leitner, 2009. "Why do markets freeze?," Working Papers 09-24, Federal Reserve Bank of Philadelphia.
  85. Meg Adachi-Sato & Chaiporn Vithessonthi, 2016. "Bank Systemic Risk and Corporate Investment," PIER Discussion Papers 17., Puey Ungphakorn Institute for Economic Research, revised Jan 2016.
  86. Simone Varotto & Lei Zhao, 2014. "Systemic Risk and Bank Size," ICMA Centre Discussion Papers in Finance icma-dp2014-17, Henley Business School, Reading University.
  87. Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2013. "Financial stability monitoring," Finance and Economics Discussion Series 2013-21, Board of Governors of the Federal Reserve System (U.S.).
  88. repec:dau:papers:123456789/14986 is not listed on IDEAS
  89. 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.
  90. Chia-Chien Chang & Yung -Jen Chung, 2016. "Can Basel Iii Liquidity Risk Measures Explain Taiwan Bank Failures," Proceedings of Economics and Finance Conferences 3205450, International Institute of Social and Economic Sciences.
  91. Zhiguo He & Wei Xiong, 2010. "Financing Speculative Booms," Levine's Working Paper Archive 661465000000000327, David K. Levine.
  92. Stefano Puddu & Andreas Waelchli, 2015. "TAF Effect on Liquidity Risk Exposure," IRENE Working Papers 15-07, IRENE Institute of Economic Research.
  93. Segura, Anatoli & Suarez, Javier, 2011. "Liquidity shocks, roll-over risk and debt maturity," CEPR Discussion Papers 8324, C.E.P.R. Discussion Papers.
  94. Banti, Chiara & Phylaktis, Kate, 2015. "FX market liquidity, funding constraints and capital flows," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 114-134.
  95. Frank Schmielewski, 2012. "Leveraging and risk taking within the German banking system: Evidence of the financial crisis in 2007 and 2008," Working Paper Series in Economics 229, University of Lüneburg, Institute of Economics.
  96. Koralai Kirabaeva, 2010. "Adverse Selection, Liquidity, and Market Breakdown," Staff Working Papers 10-32, Bank of Canada.
  97. Anand, Kartik & Gauthier, Céline & Gai, Prasanna S. & Souissi, Moez, 2016. "Capturing information contagion in a stress-testing framework," Discussion Papers 29/2016, Deutsche Bundesbank, Research Centre.
  98. Lorenzoni, Guido, 2014. "International Financial Crises," Handbook of International Economics, Elsevier.
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