Liquidity Shocks
Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis
... of liquidity for the well- functioning of financial ...of liquidity may cause large falls in asset prices that are not justified by their ...2009). Liquidity plays a crucial role both at the macro ...
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The Asset Pricing Effects of UK Market Liquidity Shocks: Evidence from Tick Data
... month liquidity risk for stock i is estimated by regressing its returns over the previous 36 months on the market liquidity factor along with market, size, value and momentum ...market liquidity ...
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Banking in small open economies with aggregate liquidity shocks
... It is worth emphasizing that this paper does not try to answer general questions on social optimality of a currency board compared to other exchange rate regimes. The scope of this work is more modest. However this paper ...
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Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis
... macro-liquidity shocks and liquidity-sorted portfolio returns has changed significantly, by reversing its sign, during the recent financial ...macro-liquidity shocks is much more ...
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Optimal Choice of Monetary Instruments in an Economy with Real and Liquidity Shocks
... In a closely related paper, Porqueras and Smith (2003) study the optimal level of interest rate smoothing under seasonal ‡uctuations. They consider deterministic two-period cycles of endowments, relocation, and storage ...
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Liquidity Shocks and the Business Cycle
... that liquidity shocks have a muted impact is related to previous results found by Kocherlakota [2000] and Cordoba and Ripoll [2004] but for different ...monetary shocks under standard ...a ...
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Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time-varying Parameter VAR
... that liquidity conditions in the stock and housing markets contribute heavily to the overall variation in real GDP growth; particularly during crisis ...the liquidity component from stock prices, we find ...
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Liquidity shocks and SEO underpricing
... In Model 1, the Dependent variable is Other Lower Integer Dummy which is equal to one if the offer price is set at the other lower integers relative to the prior closing price and zero otherwise. For instance, assuming ...
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Transmission of Liquidity Shocks: Evidence on Cross-border Bank Ownership Linkages
... The banking literature has explored the role of the internal capital market within a banking group. This literature provides a theoretical grounding as to why a liquidity shock can be transmitted through bank ...
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The sources of house price change: identifying liquidity shocks to the housing market
... How the GFC transmission occurred across EU countries, its effects, the strength of the credit crunch in different countries and consequences at a social level still raises many questions. While the literature explains ...
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Funding Liquidity Shocks in a Quasi-Experiment: Evidence from the CDS Big Bang
... unobserved shocks around the time of the CDS Big Bang, we conduct a triple difference analysis using samples from both North American and European CDS markets, taking advantage of the delayed implementation of the ...
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Liquidity Risk of Corporate Bond Returns: A Conditional Approach
... Liquidity shocks affect asset prices because asset liquidity affects expected returns of both stocks and bonds (Amihud and Mendelson, 1986, ...negative liquidity beta of assets, ...illiquidity ...
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The Market Price of Aggregate Risk and the Wealth Distribution
... model, liquidity shocks are larger but much less ...a liquidity shock, one of the agents has to switch from a “low” to a “high” ...the liquidity shocks and stock returns is small and ...
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Contagion: How to Measure It?
... The second objective of the paper is to use these new techniques in a broad application of contagion (the original papers concentrated on very special cases, or only simulations). Section 5 tested for parameter stability ...
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Money market derivatives and the allocation of liquidity risk in the banking sector
... efficient liquidity insurance to individual ...idiosyncratic liquidity shocks that are not publicly ...the liquidity allocation in the banking system as compared to the interbank spot ...
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Financial liberalization and contagion with unobservable savings
... The results of this sections are complementary to those of the previous one. Were the economy divided into autarkic regions, I prove that international shadow markets would distort the optimal allocation of consumption ...
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Composition of International Capital Flows: A Survey
... to liquidity shocks due to the mismatch of debt maturity may induce banking crises and cause sudden reversals of short-term capital ...to liquidity shocks (in addition to asymmetric ...
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Doom Loop or Incomplete Union. Sovereign adn Banking Risk
... Occasional Paper No. 213, Banca d’Italia, Rome, Italy. Arteta, C., and Hale, G. (2008). Sovereign debt crises and credit to the private sector. Journal of International Economics, 74, 53-69. Battistini, N., Pagano, M., ...
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A Theory of Bank Illiquidity and Default with Hidden Trades
... available liquidity, and avoid ...when liquidity shocks are positively correlated, the planner is able to tilt in- centives by affecting the interest rate paid in the asset markets and provide higher ...
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Limited enforcement and efficient interbank arrangements
... and liquidity shocks plays in determining the extent of ...between liquidity and asset shocks ameliorates enforcement limitations and facilitates cooperation between ...of shocks, our ...
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