Market Liquidity and Funding Liquidity

Review of Financial Studies - Tập 22 Số 6 - Trang 2201-2238 - 2009
Markus K. Brunnermeier, Lasse Heje Pedersen

Tóm tắt

Từ khóa


Tài liệu tham khảo

10.1016/S0304-405X(02)00227-1

10.1016/j.jfineco.2004.06.007

Acharya V. V. Schaefer S. Zhang Y. Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of 2005. 2008. Working Paper, London Business School.

Adrian T. Shin H. S. Liquidity and Leverage. 2009. p. 328. Journal of Financial Intermediation. Federal Reserve Bank of New York Staff Reports.

10.1006/redy.1998.0053

10.1111/0022-1082.00052

10.1111/j.1468-0262.2004.00525.x

10.1162/1542476042813805

Allen F. Gale D. Understanding Financial Crises 2007.

10.2307/2328600

10.1111/j.1540-6261.2005.00805.x

10.1016/0304-405X(74)90014-2

Bernanke, 1989, Agency Costs, Net Worth, and Business Fluctuations, American Economic Review, 79, 14

10.1162/003355304772839542

Brunnermeier M. K. Deciphering the Liquidity and Credit Crunch 2007–08. Journal of Economic Perspectives 2009;(Issue 1). 2009.

Brunnermeier M. K. Nagel S. Pedersen L. H. Carry Trades and Currency Crashes. In: Acemoglu Daron Rogoff Kenneth Woodford Michael , editors. NBER Macroeconomics Annual 2008. Vol. 23. Cambridge, MA: MIT Press; 2009.

10.1111/j.1540-6261.2005.00781.x

10.1016/0378-4266(80)90012-6

Campbell J. Y. Lo A. W. MacKinlay A. C. The Econometrics of Financial Markets 1997.

10.1016/S0304-405X(99)00057-4

10.1093/rfs/hhi010

10.1086/209742

Comerton-Forde C. Hendershott T. Jones C. M. Moulton P. C. Seasholes M. S. Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues. 2008. Working Paper, Columbia University.

10.1016/j.jfineco.2003.05.006

10.1086/261703

10.1086/261155

10.1016/S0304-405X(02)00226-X

10.1111/j.1540-6261.2004.00625.x

10.2307/1907327

10.1257/aer.98.4.1211

Garleanu N. Pedersen L. H. Liquidity and Risk Management. Vol. 97. 2007. p. 193-97. The American Economic Review (Papers & Proceedings).

Garleanu N. Pedersen L. H. Poteshman A. Demand-Based Option Pricing. Review of Financial Studies 2008.

Geanakoplos, 1997, Promises, Promises, The Economy as an Evolving Complex System II, 1997, 285

Geanakoplos, 2003, Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium, Advances in Economics and Econometrics: Theory and Applications II, Eighth World Congress, 2, 170, 10.1017/CBO9780511610257.007

Gennotte, 1990, Market Liquidity, Hedging, and Crashes, American Economic Review, 80, 999

10.1016/0304-405X(85)90044-3

10.1016/S0304-405X(02)00228-3

10.1086/296433

10.2307/2328186

10.2307/2331365

Hameed A. Kang W. Viswanathan S. Asymmetric Comovement in Liquidity. 2005. Mimeo, Duke University.

10.1016/S0304-405X(00)00091-X

10.1016/0304-405X(81)90020-9

10.2307/2328011

10.1086/250001

10.1111/0022-1082.00391

10.1111/j.1475-6803.2001.tb00763.x

Ibbotson . Cost of Capital Quarterly, 1999 Yearbook 1999.

International Monetary Fund . Global Financial Stability Report 2007. October.

10.1086/262072

10.2307/1913210

10.1111/0022-1082.00373

10.1093/rfs/hhg029

Lustig H. Chien Y. The Market Price of Aggregate Risk and Wealth Distribution. 2005. NBER Working Paper 11132.

10.1257/aer.97.2.215

10.1023/B:EUFI.0000022155.98681.25

10.1086/374184

10.1111/j.1475-679X.2008.00281.x

10.2307/2328943

10.2307/2329555

Stiglitz, 1981, Credit Rationing in Markets with Imperfect Information, American Economic Review, 71, 393

10.2307/2326945

Vayanos D. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. 2004. Working Paper, London School of Economics.

10.1111/j.1467-937X.2007.00451.x

10.2469/faj.v54.n1.2143

10.1016/S0304-405X(01)00078-2