create a website

Banks strategic interaction, adverse price dynamics and systemic liquidity risk. (2022). Wong, Lui Hsian ; Silbermann, Leonid ; Roling, Christoph ; Kruger, Ulrich.
In: Discussion Papers.
RePEc:zbw:bubdps:062022.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 51

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Adrian, T. and H. S. Shin (2010). Liquidity and leverage. Journal of Financial Intermediation 19(3), 418–437.

  2. Allen, F. and D. Gale (2010). Financial fragility, liquidity, and asset prices. Journal of the European Economic Association 2(6), 1015–1048.
    Paper not yet in RePEc: Add citation now
  3. Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5(1), 31–56.

  4. Bagehot, W. (1873). Lombard Street, a Description of the Money Market. London: Kegan Paul. Rpt., London: John Murray, 1920.
    Paper not yet in RePEc: Add citation now
  5. Bai, J., A. Krishnamurty, and C.-H. Weymuller (2018). Measuring liquidity mismatch in the banking sector. Journal of Finance 73(1), 51–93.

  6. Bank For International Settlements (2020). US dollar funding: an international perspective. CGFS Papers, No 65, June.

  7. Basel Committee on Banking Supervision (2010). Basel III: International framework for liquidity risk measurement, standards and monitoring. December 2010.
    Paper not yet in RePEc: Add citation now
  8. Basel Committee on Banking Supervision (2013). Basel III: The liquidity coverage ratio and liquidity risk monitoring tools. January 2013.
    Paper not yet in RePEc: Add citation now
  9. Basel Committee on Banking Supervision (2014). Basel III: The net stable funding ratio.
    Paper not yet in RePEc: Add citation now
  10. Beber, A., M. W. Brandt, and K. A. Kavajecz (2008). Flight-to-quality or flight-toliquidity ? evidence from the euro-area bond market. The Review of Financial Studies 22(3), 925–957.
    Paper not yet in RePEc: Add citation now
  11. Brunnermeier, M. K. (2009). Deciphering the liquidity and credit crunch 2007-2008. Journal of Economic Perspectives 23(1), 77–100.

  12. Brunnermeier, M. K. and L. H. Pedersen (2005, August). Predatory Trading. Journal of Finance 60(4), 1825–1863.
    Paper not yet in RePEc: Add citation now
  13. Brunnermeier, M. K. and L. H. Pedersen (2009). Market liquidity and funding liquidity.

  14. Brunnermeier, M. K., G. Gorton, and A. Krishnamurthy (2011). Risk topography. NBER Macroeconomics Annual 26(1), 149–176.
    Paper not yet in RePEc: Add citation now
  15. Caccioli, F., G. Ferrara, and A. Ramadiah (2021). Modelling fire sale contagion across banks and non-banks. Bank of England Staff Working Paper.

  16. Cetorelli, N. and L. S. Goldberg (2012). Follow the money: Quantifying domestic effects of foreign bank shocks in the great recession. American Economic Review: Papers & Proceedings 102(3), 213–218.

  17. Cifuentes, R., G. Ferrucci, and H. S. Shin (2005). Liquidity risk and contagion. Journal of the European Economic Association 3(2/3), 556–566.

  18. Cornett, M. M., J. J. McNutt, P. E. Strahan, and H. Tehranian (2011). Liquidity risk management and credit supply in the financial crisis. Journal of Financial Economics 101, 297–312.

  19. Correa, R., H. Sapriza, and A. Zlate (2016). Liquidity shocks, dollar funding costs, and the bank lending channel during the European sovereign debt crisis. Federal Reserve Bank of Boston, Working Paper, September.
    Paper not yet in RePEc: Add citation now
  20. Dick-Nielsen, J., P. Feldhütter, and D. Lando (2012). Corporate bond liquidity before and after the onset of the subprime crisis. The Journal of Financial Stability 103, 471–492.

  21. Du, W., A. Tepper, and A. Verdelhan (2018). Deviations from covered interest parity. Journal of Finance 73(3), 915–957.

  22. ECB (November 2017). Financial stability review. Financial Stability Review.
    Paper not yet in RePEc: Add citation now
  23. Ellul, A., C. Jotikasthira, and C. Lundblad (2011). Regulatory pressure and fire sales in the corporate bond market. Journal of Financial Economics 101, 596–620.

  24. English, W. B., S. J. van den Heuvel, and E. Zakrajsek (2018). Interest rate risk and bank equity valuations. Journal of Monetary Economics 98, 80–97.

  25. European Central Bank Task Force on Systemic Liquidity (2018). Systemic liquidity concept, measurement and macroprudential instruments. Occasional Paper Series 214/October 2018.
    Paper not yet in RePEc: Add citation now
  26. European Systemic Risk Board (2014). The ESRB handbook on operationalising macroprudential policy in the banking sector.
    Paper not yet in RePEc: Add citation now
  27. Feldhütter, P. (2012). The same bond at different prices: identifying search frictions and selling pressures. Review of Financial Studies 25, 1155–1206.
    Paper not yet in RePEc: Add citation now
  28. Financial Stability Board (2018). Funding strategy elements of an implementable resolution plan. FSB Policy Document.
    Paper not yet in RePEc: Add citation now
  29. Gatev, E., T. Schuermann, and P. E. Strahan (2007). How do banks manage liquidity risk? evidenc from the equity and deposit markets in the fall of 1998. In M. Carey and R. M. Stulz (Eds.), The risks of financial institutions, Chapter 3, pp. 105–132. University of Chicago Press.

  30. Geanakoplos, J. (2009). The leverage cycle. NBER Macroeconomics Annual 24, 1–66.

  31. Gorton, G. and A. Metrick (2012). Securitized banking and the run on repo. Journal of Financial Economics 104, 425–451.

  32. Goulding, W. and D. E. Nolle (2012). Foreign banks in the U.S.: A primer. Board of Governors of the Federal Reserve System, International Finance Discussion Papers, Number 1064r.
    Paper not yet in RePEc: Add citation now
  33. Greenwood, R., A. Landier, and D. Thesmar (2015). Vulnerable banks. Journal of Financial Economics 115, 471–485.
    Paper not yet in RePEc: Add citation now
  34. Grossmann, C. and J. Terno (1993). Numerik der Optimierung. Teubner Studienbücher Mathematik.
    Paper not yet in RePEc: Add citation now
  35. ICMA (March 2021). European repo market survey. European Repo Market Survey Number 40.
    Paper not yet in RePEc: Add citation now
  36. International Monetary Fund (2011). How to address the systemic part of liquidity risk. Global Financial Stability Report, Chapter 2.
    Paper not yet in RePEc: Add citation now
  37. Ivashina, V. and D. Scharfstein (2010). Bank lending during the financial crisis of 2008. Journal of Financial Economics 97, 319–338.

  38. Ivashina, V., D. Scharfstein, and J. Stein (2015). Dollar funding and the lending behavior of global banks. Quarterly Journal of Economics 130(3), 1241–1281.

  39. Kacperczyk, M. and P. Schnabl (2010). When safe proved risky: Commercial paper during the financial crisis of 2007-2009. Journal of Economic Perspectives 24(1), 29–50.

  40. Krishnamurty, A. (2010). Amplification mechanisms in liquidity crises. American Economic Journal: Macroeconomics 2, 1–30.
    Paper not yet in RePEc: Add citation now
  41. McCauley, R. P., P. McGuire, and G. von Peter (2010). The architecture of global banking: From international to multinational? BIS Quarterly Review, May.

  42. Merrill, C. B., T. Nadauld, R. M. Stulz, and S. M. Sherlund (2014). Were there fire sales in the RMBS market? Dice Center Working Paper 2014-09.

  43. Morris, S. and H. S. Shin (2004). Liquidity black holes. Review of Finance 8, 1–18.

  44. Pérignon, C., D. Thesmar, and G. Vuillemey (2018). Wholesale funding dry-ups. Journal of Financial Economics 73(2), 575–617.

  45. Podlich, N., I. Schnabel, and J. Tischer (2017). Banks’ trading after the Lehmann crisis -The role of unconventional monetary policy. Deutsche Bundesbank Discussion Paper No 19/2017.
    Paper not yet in RePEc: Add citation now
  46. Santis, R. A. D. (2014). The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms. Journal of Empirical Finance 26, 150–170.
    Paper not yet in RePEc: Add citation now
  47. Schmidt, K., F. Noth, and L. Tonzer (2021). A note of caution on quantifying banks’ recapitalization effects. Deutsche Bundesbank Discussion Paper No 02/2021.
    Paper not yet in RePEc: Add citation now
  48. Shin, H. S. (2009). Reflections on Northern Rock: The bank run that heralded the global financial crisis. Journal of Economic Perspectives 23(1), 101–119.

  49. Shin, H. S. (2010). Risk and Liquidity. Oxford University Press.

  50. Thakor, A. V. (2015). The financial crisis of 2007–2009: Why did it happen and what did we learn? The Review of Corporate Finance Studies 4(2), 155–205.

  51. Van den End, J. W. and M. Tabbae (2012). When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour. The Journal of Financial Stability 8, 107–120. (a) All currencies Up to 5 days After 5 days, up to 2 weeks After 2 weeks, up to 3 weeks After 3 weeks, up to 4 weeks Net Outflows Net Outflows: Behavioral outflows from deposits and outflows from credit lines (b) US dollar Up to 5 days After 5 days, up to 2 weeks After 2 weeks, up to 3 weeks After 3 weeks, up to 4 weeks Net Outflows Net Outflows: Behavioral outflows from deposits and outflows from credit lines

Cocites

Documents in RePEc which have cited the same bibliography

  1. International Channels of Transmission of Monetary Policy and the Mundellian Trilemma. (2016). Rey, Helene.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21852.

    Full description at Econpapers || Download paper

  2. Regulatory change and monetary policy. (2016). Bank for International Settlements, .
    In: CGFS Papers.
    RePEc:bis:biscgf:55.

    Full description at Econpapers || Download paper

  3. Monetary policy, excessive risk-taking and banking crisis. (2015). Zaghdoudi, Taha.
    In: MPRA Paper.
    RePEc:pra:mprapa:69547.

    Full description at Econpapers || Download paper

  4. Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence. (2015). Rey, Helene.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21162.

    Full description at Econpapers || Download paper

  5. Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries. (2015). Kim, Hyeongwoo ; Lee, Bong-Soo.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:192-210.

    Full description at Econpapers || Download paper

  6. Vulnerable banks. (2015). thesmar, david ; Landier, Augustin ; Greenwood, Robin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:115:y:2015:i:3:p:471-485.

    Full description at Econpapers || Download paper

  7. Fire Sales and Information Advantage: When Informed Investor Helps. (2015). Zhang, Lei ; Massa, Massimo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10536.

    Full description at Econpapers || Download paper

  8. Globalization of corporate risk taking. (2014). Shin, Hyun Song ; Bruno, Valentina.
    In: Journal of International Business Studies.
    RePEc:pal:jintbs:v:45:y:2014:i:7:p:800-820.

    Full description at Econpapers || Download paper

  9. Global Liquidity and Drivers of Cross-Border Bank Flows. (2014). Claessens, Stijn ; Cerutti, Eugenio ; Ratnovski, Lev.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2014/069.

    Full description at Econpapers || Download paper

  10. Global Liquidity and Drivers of Cross-Border Bank Flows. (2014). Ratnovski, Lev ; Claessens, Stijn ; Cerutti, Eugenio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10314.

    Full description at Econpapers || Download paper

  11. A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints. (2014). Michaelides, Alexander ; Mankart, Jochen ; Pagratis, Spyros .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10299.

    Full description at Econpapers || Download paper

  12. A Policy Model to Analyze Macroprudential Regulations and Monetary Policy. (2014). Alpanda, Sami ; Meh, Cesaire ; Cateau, Gino.
    In: Staff Working Papers.
    RePEc:bca:bocawp:14-6.

    Full description at Econpapers || Download paper

  13. Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy. (2014). Sierra Jimenez, Jesus ; Gungor, Sermin.
    In: Staff Working Papers.
    RePEc:bca:bocawp:14-3.

    Full description at Econpapers || Download paper

  14. Banks, Markets, and Financial Stability. (2013). Pausch, Thilo ; Fecht, Falko ; Eder, Armin .
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79712.

    Full description at Econpapers || Download paper

  15. Unemployment benefits and financial leverage in an agent based macroeconomic model. (2013). Russo, Alberto ; Gallegati, Mauro ; Ricetti, Luca .
    In: Economics - The Open-Access, Open-Assessment E-Journal.
    RePEc:zbw:ifweej:201342.

    Full description at Econpapers || Download paper

  16. Regole di Basilea e modelli di vigilanza: quale convergenza? (Basel rules and supervisory models: What convergence?). (2013). Montanaro, Elisabetta .
    In: Moneta e Credito.
    RePEc:psl:moneta:2013:43.

    Full description at Econpapers || Download paper

  17. The rise and fall of universal banking: ups and downs of a sample of large and complex financial institutions since the late �90s. (2013). Masciantonio, Sergio ; Tiseno, Andrea .
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_164_13.

    Full description at Econpapers || Download paper

  18. Tracking Variation in Systemic Risk at US Banks During 1974-2013. (2012). Laeven, Luc ; Kane, Edward ; Hovakimian, Armen.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18043.

    Full description at Econpapers || Download paper

  19. Local Bias and Stock Market Conditions. (2012). Laeven, Luc ; Giannetti, Mariassunta.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8969.

    Full description at Econpapers || Download paper

  20. The Role of Equity Funds in the Financial Crisis Propagation. (2012). Hau, Harald ; Lai, Sandy .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8819.

    Full description at Econpapers || Download paper

  21. Sizing Up Repo. (2012). Nagel, Stefan ; Krishnamurthy, Arvind ; Orlov, Dmitry.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8795.

    Full description at Econpapers || Download paper

  22. Evaporating Liquidity. (2012). Nagel, Stefan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8775.

    Full description at Econpapers || Download paper

  23. Aggregate Investment Externalities and Macroprudential Regulation. (2012). Rochet, Jean ; Gersbach, Hans.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8764.

    Full description at Econpapers || Download paper

  24. Bank leverage shocks and the macroeconomy: a new look in a data-rich environment.. (2012). Stevanovic, Dalibor ; Mésonnier, Jean-Stéphane ; Mesonnier, J-S., .
    In: Working papers.
    RePEc:bfr:banfra:394.

    Full description at Econpapers || Download paper

  25. Debt deleveraging and business cycles: An agent-based perspective. (2011). Teglio, Andrea ; Raberto, Marco ; Cincotti, Silvano.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:201131.

    Full description at Econpapers || Download paper

  26. Get rid of banks and build up a modern financial world. (2011). Lenz, Rainer .
    In: MPRA Paper.
    RePEc:pra:mprapa:33501.

    Full description at Econpapers || Download paper

  27. Duffie, Darrell: How Big Banks Fail and What to Do about It. (2011). Baglioni, Angelo.
    In: Journal of Economics.
    RePEc:kap:jeczfn:v:103:y:2011:i:1:p:101-103.

    Full description at Econpapers || Download paper

  28. Velocity of Pledged Collateral; Analysis and Implications. (2011). Singh, Manmohan.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/256.

    Full description at Econpapers || Download paper

  29. Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes. (2011). Fostel, Ana ; Geanakoplos, John.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1809.

    Full description at Econpapers || Download paper

  30. Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes. (2011). Fostel, Ana ; Geanakoplos, John.
    In: Levine's Working Paper Archive.
    RePEc:cla:levarc:786969000000000168.

    Full description at Econpapers || Download paper

  31. Asset Prices and the Financial Crisis of 2007–09: An Overview of Theories and Policies. (2010). Malliaris, Anastasios ; Hayford, Marc .
    In: Forum for Social Economics.
    RePEc:spr:fosoec:v:39:y:2010:i:3:p:279-286.

    Full description at Econpapers || Download paper

  32. Measuring Monetary Conditions in US Asset Markets - A Market Specific Approach. (2010). Herz, Bernhard ; Drescher, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:27384.

    Full description at Econpapers || Download paper

  33. Liquidity Risk of Corporate Bond Returns: A Conditional Approach. (2010). Amihud, Yakov ; Acharya, Viral ; Bharath, Sreedhar T..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16394.

    Full description at Econpapers || Download paper

  34. Managing Credit Booms and Busts: A Pigouvian Taxation Approach. (2010). Korinek, Anton ; Jeanne, Olivier.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16377.

    Full description at Econpapers || Download paper

  35. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors. (2010). Pelizzon, Loriana ; Lo, Andrew ; Billio, Monica ; Getmansky, Mila.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16223.

    Full description at Econpapers || Download paper

  36. Yesterdays Heroes: Compensation and Creative Risk-Taking. (2010). Scheinkman, Jose ; Hong, Harrison ; Cheng, Ing-Haw ; Ing-Haw Cheng, Harrison Hong, Jose A. Scheinkman, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16176.

    Full description at Econpapers || Download paper

  37. Rollover Risk and Credit Risk. (2010). Xiong, Wei ; He, Zhiguo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15653.

    Full description at Econpapers || Download paper

  38. Global Funding Liquidity, Equity Returns and Crash Risk: Implications for Monetary Policy. (2010). Corcoran, Aidan.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp318.

    Full description at Econpapers || Download paper

  39. Managing Credit Booms and Busts: A Pigouvian Taxation Approach. (2010). Korinek, Anton ; Jeanne, Olivier.
    In: Working Paper Series.
    RePEc:iie:wpaper:wp10-12.

    Full description at Econpapers || Download paper

  40. Funding liquidity risk and the cross-section of stock returns. (2010). Etula, Erkko ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:464.

    Full description at Econpapers || Download paper

  41. Financial amplification of foreign exchange risk premia. (2010). Groen, Jan ; Etula, Erkko ; Adrian, Tobias ; Jan J. J. Groen, .
    In: Staff Reports.
    RePEc:fip:fednsr:461.

    Full description at Econpapers || Download paper

  42. Financial statistics for the United States and the crisis: what did they get right, what did they miss, and how should they change?. (2010). Palumbo, Michael ; Kohn, Donald L. ; Eichner, Matthew J..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2010-20.

    Full description at Econpapers || Download paper

  43. The Credit Crisis around the Globe: Why Did Some Banks Perform Better?. (2010). Stulz, René ; Beltratti, Andrea.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2010-5.

    Full description at Econpapers || Download paper

  44. Solving the Present Crisis and Managing the Leverage Cycle. (2010). Geanakoplos, John.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1751.

    Full description at Econpapers || Download paper

  45. The Leverage Cycle. (2010). Geanakoplos, John.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1715r.

    Full description at Econpapers || Download paper

  46. Rescuing Banks from the Effects of the Financial Crisis. (2009). Marchionne, Francesco ; Fratianni, Michele.
    In: Working Papers.
    RePEc:iuk:wpaper:2009-04.

    Full description at Econpapers || Download paper

  47. When Everyone Runs for the Exit. (2009). Pedersen, Lasse.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2009:q:4:a:10.

    Full description at Econpapers || Download paper

  48. The Crisis: Policy Lessons and Policy Challenges. (2009). Pisani-Ferry, Jean ; Benassy-Quere, Agnès ; Jacquet, Pierre ; Coeure, Benoit.
    In: Working Papers.
    RePEc:cii:cepidt:2009-28.

    Full description at Econpapers || Download paper

  49. Deciphering the Liquidity and Credit Crunch 2007-2008. (2009). Brunnermeier, Markus.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:23:y:2009:i:1:p:77-100.

    Full description at Econpapers || Download paper

  50. Financial Regulation in a System Context. (2008). Shin, Hyun Song ; Morris, Stephen.
    In: Brookings Papers on Economic Activity.
    RePEc:bin:bpeajo:v:39:y:2008:i:2008-02:p:229-274.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-25 02:43:42 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy