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Central Bank Liquidity and Market Liquidity: The Role of Collateral Provision on the French Government Debt Securities Market
16 references·3 citing·48 second hop
Central Bank Liquidity and Market Liquidity: The Role of Collateral Provision on the French Government Debt Securities Market (2010)Central Bank Liquidity and Market Liquidi…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Market Liquidity and Funding Liquidity (2005)Market Liquidity and Funding …Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…Commonality in liquidity (2000)Commonality in liquidityGeneralized impulse response analysis in linear multivariate models (1998)Generalized impulse response …The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Markov-Switching Vector Autoregressions (1997)Markov-Switching Vector Autor…Estimating the components of the bid/ask spread (1988)Estimating the components of …A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Credit Rationing in Markets with Imperfect Information (1981)Credit Rationing in Markets w…On estimating the expected return on the market (1980)On estimating the expected re…Wage Rigidity, Collective Bargaining, and the Minimum Wage: Evidence from French Agreement Data (2012)Wage Rigidity, Collective Bar…The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models (2010)The Growth-Volatility Relatio…Price, Wage and Employment Response to Shocks: Evidence from the WDN Survey (2010)Price, Wage and Employment Re…Increases in risk and in risk aversion (1974)Risk Sharing and Incentives in the Principal and Agent Relationship (1979)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Financial Dependence and Growth (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity and leverage (2008)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)
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References

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  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
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  • 2005Asset pricing with liquidity risk2,816 cited
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  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2000Commonality in liquidity1,748 cited
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  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
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  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 2005Market Liquidity and Funding Liquidity863 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 1997

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Markov-Switching Vector Autoregressions
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  • 2012Wage Rigidity, Collective Bargaining, and the Minimum Wage: Evidence from French Agreement Data72 cited
  • 2010The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models25 cited
  • 2010Price, Wage and Employment Response to Shocks: Evidence from the WDN Survey13 cited