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Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model
16 references·0 citing·44 second hop
Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model (2013)Funding Liquidity, Market Liquidity and T…Market Size, Competition, and the Product Mix of Exporters (2011)Market Size, Competition, and…Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues (2010)Time Variation in Liquidity: …Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle (2008)On the Relation Between the C…Deciphering the Liquidity and Credit Crunch 2007-08 (2008)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2005)Market Liquidity and Funding …An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Sample Splitting and Threshold Estimation (2000)Sample Splitting and Threshol…Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks (2000)Credit and Economic Activity:…Trading Volume and Asset Liquidity (1989)Trading Volume and Asset Liqu…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Dealership market (1980)Dealership marketTHE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)The Limits of Arbitrage (1995)Credit Cycles (1997)Contagion as a Wealth Effect (2001)A Macroprudential Approach to Financial Regulation (2011)The Cost of Transacting (1968)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity and Market Efficiency (2007)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Liquidity and Funding Liquidity (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Trading and Arbitrage in Cryptocurrency Markets (2018)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Estimation of a Change Point in Multiple Regression Models (1997)Chapter 8 Growth Econometrics (2005)The economics of poverty traps and persistent poverty: An asset-based approach (2006)Remittances, financial development, and growth (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Optimal dealer pricing under transactions and return uncertainty (1981)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Did Fair-Value Accounting Contribute to the Financial Crisis? (2010)Resolution of Banking Crises: The Good, the Bad, and the Ugly (2010)CoVaR (2011)Generalized impulse response analysis in linear multivariate models (1998)Liquidity Risk and Expected Stock Returns (2003)A liquidity-augmented capital asset pricing model (2006)Understanding commonality in liquidity around the world (2011)The relationship between return and market value of common stocks (1981)Asset pricing and the bid-ask spread (1986)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Noise Trader Risk in Financial Markets (1990)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2000Sample Splitting and Threshold Estimation2,901 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2008Deciphering the Liquidity and Credit Crunch 2007-081,026 cited
  • 1980Dealership market965 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2005Market Liquidity and Funding Liquidity863 cited
  • 2011Market Size, Competition, and the Product Mix of Exporters728 cited
  • 1989Trading Volume and Asset Liquidity628 cited
  • 2008On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle447 cited
  • 2010Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues373 cited
  • 2000Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks

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