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Credit and Liquidity in Interbank Rates: A Quadratic Approach
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Credit and Liquidity in Interbank Rates: A Quadratic Approach (2013)Credit and Liquidity in Interbank Rates: …A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)A Pyrrhic Victory? Bank Bailo…The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases (2012)The Financial Market Effects …Rollover Risk and Credit Risk (2012)Rollover Risk and Credit RiskFlow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply (2012)Flow and stock effects of lar…The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy (2011)The Effects of Quantitative E…The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)The Effectiveness of Alternat…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…Demand–Deposit Contracts and the Probability of Bank Runs (2005)Demand–Deposit Contracts and …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…A Black Swan in the Money MarketA Black Swan in the Money Mar…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)The Determinants of Credit Spread Changes (2001)Default Risk in Equity Returns (2004)A New Measure of Monetary Shocks: Derivation and Implications (2004)Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach* (2012)Fiscal Policy in a Depressed Economy (2012)The Aggregate Demand for Treasury Debt (2012)Macroeconomic Shocks and Their Propagation (2016)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Evaporating Liquidity (2012)International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2016)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Discretion versus policy rules in practice (1993)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Manias, Panics, and Crashes: A History of Financial Crises (1979)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Coordination Failures and the Lender of Last Resort: Was Bagehot Right after All? (2004)Collective Risk Management in a Flight to Quality Episode (2007)Payoff complementarities and financial fragility: Evidence from mutual fund outflows (2010)Determinants of corporate borrowing (1977)This Time Is Different (2009)Sovereign Default, Domestic Banks, and Financial Institutions (2013)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)Local Crowding Out in China (2019)Bank lending during the financial crisis of 2008 (2009)
this work references cited by second hop

References

  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2005Demand–Deposit Contracts and the Probability of Bank Runs1,206 cited
  • 2011The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy1,198 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2014A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk812 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 2012The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases704 cited
  • 2011The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment671 cited
  • 2012Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply655 cited

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2012
Rollover Risk and Credit Risk
632 cited
  • n.d.A Black Swan in the Money Market610 cited
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