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The Dynamics of Bank Loans Short-Term Interest Rates in the Euro Area: What Lessons Can We Draw from the Current Crisis?
16 references·2 citing·53 second hopsampled
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(2000)What Do a Million Observation…Bank Size, Bank Capital, and the Bank Lending Channel (2000)Bank Size, Bank Capital, and …Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Inside the Black Box: The Cre…Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Inside the Black Box: The Cre…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Simulation Run Length Control in the Presence of an Initial Transient (1983)Simulation Run Length Control…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Market Shares in the Wake of the Global Crisis: The Quarterly Export Competitiveness Database (2014)Market Shares in the Wake of …Heterogeneous Banking Efficiency: Allocative Distortions and Lending Fluctuations (2013)Heterogeneous Banking Efficie…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Measuring Uncertainty (2015)Agency Costs, Net Worth, And Business Fluctuations (1988)The federal funds rate and the channels of monetary transmission (1989)Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms (1994)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle (2005)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? 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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission4,252 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 2009Bank lending during the financial crisis of 20082,777 cited
  • 2000What Do a Million Observations on Banks Say About the Transmission of Monetary Policy?2,505 cited
  • 2010The real effects of financial constraints: Evidence from a financial crisis2,298 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission1,429 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1983Simulation Run Length Control in the Presence of an Initial Transient1,296 cited
  • 2000Bank Size, Bank Capital, and the Bank Lending Channel1,067 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models

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980 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • Cited by

    • 2014Market Shares in the Wake of the Global Crisis: The Quarterly Export Competitiveness Database22 cited
    • 2013Heterogeneous Banking Efficiency: Allocative Distortions and Lending Fluctuations16 cited