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Intermediary Asset Pricing and the Financial Crisis

Citations

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Cited by:

  1. Beyer, Marcel, 2023. "Gambling for recovery? Exploring the riskiness of European insurers' assets during the Covid-19 crisis 2020," ICIR Working Paper Series 46/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), revised 2023.
  2. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
  3. Carlos Alberto Piscarreta Pinto Ferreira, 2021. "Does Public Debt Ownership Structure Matter for a Borrowing Country?," Working Papers REM 2021/0190, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  4. Libo Yin & Jing Nie, 2021. "Intermediary asset pricing in currency carry trade returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1241-1267, August.
  5. Jason Allen & Milena Wittwer, 2023. "Intermediary Market Power and Capital Constraints," Staff Working Papers 23-51, Bank of Canada.
  6. Jacobs, Kris & Mai, Anh Thu, 2024. "The role of intermediaries in derivatives markets: Evidence from VIX options," Journal of Empirical Finance, Elsevier, vol. 77(C).
  7. Albertazzi, Ugo & Barbiero, Francesca & Marqués-Ibáñez, David & Popov, Alexander & Rodriguez d’Acri, Costanza & Vlassopoulos, Thomas, 2020. "Monetary policy and bank stability: the analytical toolbox reviewed," Working Paper Series 2377, European Central Bank.
  8. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.
  9. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
  10. Dirk Niepelt, 2024. "Money and Banking with Reserves and CBDC," Journal of Finance, American Finance Association, vol. 79(4), pages 2505-2552, August.
  11. He, Zhiguo & Nagel, Stefan & Song, Zhaogang, 2022. "Treasury inconvenience yields during the COVID-19 crisis," Journal of Financial Economics, Elsevier, vol. 143(1), pages 57-79.
  12. Juan M. Morelli & Pablo Ottonello & Diego J. Perez, 2022. "Global Banks and Systemic Debt Crises," Econometrica, Econometric Society, vol. 90(2), pages 749-798, March.
  13. Gino Cenedese & Pasquale Della Corte & Tianyu Wang, 2021. "Currency Mispricing and Dealer Balance Sheets," Journal of Finance, American Finance Association, vol. 76(6), pages 2763-2803, December.
  14. Zhiguo He & Paymon Khorrami & Zhaogang Song, 2022. "Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress," The Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4630-4673.
  15. John M. Griffin & Amin Shams, 2020. "Is Bitcoin Really Untethered?," Journal of Finance, American Finance Association, vol. 75(4), pages 1913-1964, August.
  16. Ricardo J Caballero & Alp Simsek, 2021. "A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a “COVID-19” Shock [Financial intermediaries and the cross-section of asset returns]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5522-5580.
  17. Carlos Alberto Piscarreta Pinto Ferreira, 2022. "Investor Base Dynamics and Sovereign Bond Yield Volatility," Working Papers REM 2022/0234, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  18. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
  19. Gruenthaler, Thomas & Lorenz, Friedrich & Meyerhof, Paul, 2022. "Option-based intermediary leverage," Journal of Banking & Finance, Elsevier, vol. 145(C).
  20. Anna Belianska & Aurélien Eyquem & Céline Poilly, 2021. "The Transmission Channels of Government Spending Uncertainty," AMSE Working Papers 2115, Aix-Marseille School of Economics, France.
  21. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
  22. Libo Yin & Jing Nie & Liyan Han, 2021. "Intermediary capital risk and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 577-640, May.
  23. Juan R. Hernández, 2024. "Covered interest parity: a forecasting approach to estimate the neutral band," BIS Working Papers 1206, Bank for International Settlements.
  24. Zhongjin Lu & Zhongling Qin, 2021. "Leveraged Funds and the Shadow Cost of Leverage Constraints," Journal of Finance, American Finance Association, vol. 76(3), pages 1295-1338, June.
  25. Valentin Haddad & Tyler Muir, 2021. "Do Intermediaries Matter for Aggregate Asset Prices?," Journal of Finance, American Finance Association, vol. 76(6), pages 2719-2761, December.
  26. Carlos Alberto Piscarreta Pinto Ferreira, 2022. "Revisiting The Determinants Of Sovereign Bond Yield Volatility," Working Papers REM 2022/0241, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  27. Kazuhiro Hiraki & George Skiadopoulos, 2018. "The Contribution of Frictions to Expected Returns," Working Papers 874, Queen Mary University of London, School of Economics and Finance.
  28. Burns, Christopher B. & Prager, Daniel L., 2024. "Do agricultural swaps co-move with equity markets? Evidence from the COVID-19 crisis," Journal of Commodity Markets, Elsevier, vol. 34(C).
  29. Haoyang Liu & Zhaogang Song & James Vickery, 2021. "Defragmenting Markets: Evidence from Agency MBS," Working Papers 21-25, Federal Reserve Bank of Philadelphia.
  30. Carlo Alcaraz & Stijn Claessens & Gabriel Cuadra & David Marques-Ibanez & Horacio Sapriza, 2018. "Whatever it takes. What's the impact of a major nonconventional monetary policy intervention?," BIS Working Papers 749, Bank for International Settlements.
  31. Huber, Amy Wang, 2023. "Market power in wholesale funding: A structural perspective from the triparty repo market," Journal of Financial Economics, Elsevier, vol. 149(2), pages 235-259.
  32. Jiakai Chen & Haoyang Liu & Asani Sarkar & Zhaogang Song, 2020. "Dealers and the Dealer of Last Resort: Evidence from the Agency MBS Markets in the COVID-19 Crisis," Staff Reports 933, Federal Reserve Bank of New York.
  33. Ge, Shan & Weisbach, Michael S., 2021. "The role of financial conditions in portfolio choices: The case of insurers," Journal of Financial Economics, Elsevier, vol. 142(2), pages 803-830.
  34. Antonio Falato & Diana A. Iercosan & Filip Zikes, 2019. "Banks as Regulated Traders," Finance and Economics Discussion Series 2019-005r1, Board of Governors of the Federal Reserve System (U.S.), revised 04 Aug 2021.
  35. Libo Yin & Jing Nie & Liyan Han, 2020. "Intermediary asset pricing in commodity futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1711-1730, November.
  36. Samuel Antill & Asani Sarkar, 2018. "Is size everything?," Staff Reports 864, Federal Reserve Bank of New York.
  37. Grundy, Bruce D. & Verwijmeren, Patrick & Yang, Antti, 2024. "Intermediary frictions and convertible bond pricing," Journal of Financial Intermediation, Elsevier, vol. 58(C).
  38. Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
  39. Anderson, Christopher S. & McArthur, David C. & Wang, Ke, 2023. "Internal risk limits of dealers and corporate bond market making," Journal of Banking & Finance, Elsevier, vol. 147(C).
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