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Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity
16 references·16 citing·36 second hopsampled
Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity (2010)Limits to Arbitrage During the Crisis: Fu…Liquidity risk management and credit supply in the financial crisis (2011)Liquidity risk management and…Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Presidential Address: Asset P…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Deciphering the Liquidity and Credit Crunch 2007-08 (2008)Deciphering the Liquidity and…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Pricing the commonality across alternative measures of liquidity (2007)Pricing the commonality acros…Market Liquidity and Funding Liquidity (2005)Market Liquidity and Funding …Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Shortages and Banking Crises (2002)Liquidity Shortages and Banki…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityThe Limits of Arbitrage (1995)The Limits of ArbitrageA Tract on Monetary Reform (1924)A Tract on Monetary ReformSlow Moving CapitalSlow Moving CapitalA Black Swan in the Money MarketA Black Swan in the Money Mar…Covered Interest Parity Arbitrage (2022)Covered Interest Parity Arbit…The Dynamics of Financially Constrained Arbitrage (2018)The Dynamics of Financially C…Global Political Risk and Currency Momentum (2018)Global Political Risk and Cur…Segmented Money Markets and Covered Interest Parity Arbitrage (2017)Segmented Money Markets and C…Funding liquidity, market liquidity and TED spread: A two-regime model (2017)Funding liquidity, market liq…Deviations from Covered Interest Rate Parity (2017)Deviations from Covered Inter…Asset Prices and Macroeconomic Outcomes: A Survey (2017)Asset Prices and Macroeconomi…Deviations from Covered Interest Rate Parity (2016)Deviations from Covered Inter…Elasticity and Discipline in the Global Swap Network (2015)Elasticity and Discipline in …What drives TARGET2 balances? Evidence from a panel analysis (2014)What drives TARGET2 balances?…Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk? (2014)Predicting Exchange Rates Out…FX market liquidity, funding constraints and capital flows (2014)FX market liquidity, funding …Foreign exchange risk and the predictability of carry trade returns (2014)Foreign exchange risk and the…Financial Market Dislocations (2014)Financial Market DislocationsThe Macroprudential Toolkit (2011)The Macroprudential ToolkitCarry Trade and Momentum in Currency Markets (2011)Carry Trade and Momentum in C…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Credit Cycles (1997)Contagion as a Wealth Effect (2001)A Macroprudential Approach to Financial Regulation (2011)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Monetary Policy as Financial Stability Regulation (2012)Determinants of corporate borrowing (1977)Did Fair-Value Accounting Contribute to the Financial Crisis? (2010)Resolution of Banking Crises: The Good, the Bad, and the Ugly (2010)CoVaR (2011)Financial Intermediation and Delegated Monitoring (1984)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Liquidity Risk and Contagion (2005)Has Finance Made the World Riskier? (2006)A theory of systemic risk and design of prudential bank regulation (2009)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)Informational Asymmetries, Financial Structure, and Financial Intermediation (1977)A Crisis of Banks as Liquidity Providers (2014)Supply chain finance: a literature review (2016)Macroprudential Policy, Countercyclical Bank Capital Buffers, and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments (2017)Foreign currency option values (1983)blurred boundaries: the discourse of corruption, the culture of politics, and the imagined state (1995)Financialisation and the slowdown of accumulation (2004)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Bank lending during the financial crisis of 2008 (2009)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1995The Limits of Arbitrage5,282 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1924A Tract on Monetary Reform1,287 cited
  • 2011Liquidity risk management and credit supply in the financial crisis1,201 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2008Deciphering the Liquidity and Credit Crunch 2007-081,026 cited
  • 2002Liquidity Shortages and Banking Crises877 cited
  • 2005Market Liquidity and Funding Liquidity863 cited
  • 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital861 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • n.d.A Black Swan in the Money Market610 cited
  • 2007Pricing the commonality across alternative measures of liquidity585 cited
  • 1996Swap Rates and Credit Quality480 cited
  • n.d.Slow Moving Capital464 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2014Financial Market Dislocations113 cited
  • 2018The Dynamics of Financially Constrained Arbitrage104 cited
  • 2014Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?94 cited
  • 2022Covered Interest Parity Arbitrage86 cited
  • 2017Segmented Money Markets and Covered Interest Parity Arbitrage74 cited
  • 2018Global Political Risk and Currency Momentum73 cited
  • 2014Foreign exchange risk and the predictability of carry trade returns67 cited
  • 2014What drives TARGET2 balances? Evidence from a panel analysis64 cited
  • 2016Deviations from Covered Interest Rate Parity62 cited
  • 2011The Macroprudential Toolkit58 cited
  • 2015Elasticity and Discipline in the Global Swap Network57 cited
  • 2017Deviations from Covered Interest Rate Parity55 cited
  • 2017Funding liquidity, market liquidity and TED spread: A two-regime model53 cited
  • 2014FX market liquidity, funding constraints and capital flows50 cited
  • 2011Carry Trade and Momentum in Currency Markets49 cited
  • 2017Asset Prices and Macroeconomic Outcomes: A Survey40 cited