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When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
16 references·7 citing·40 second hop
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification (2016)When Micro Prudence Increases Macro Risk:…Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Credit Booms Gone Bust: Monet…Systemic risk in banking ecosystems (2011)Systemic risk in banking ecos…From Financial Crash to Debt Crisis (2011)From Financial Crash to Debt …This time is different: eight centuries of financial folly (2010)This time is different: eight…This Time Is Different (2009)This Time Is DifferentMarket Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageOptimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Naive Diversification Strategies in Defined Contribution Saving Plans (2001)Naive Diversification Strateg…Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)Chapter 21 The financial acce…Credit Cycles (1997)Credit CyclesThe Financial Accelerator and the Flight to Quality (1996)The Financial Accelerator and…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Liquidation Values and Debt C…Agency Costs, Net Worth, And Business Fluctuations (1988)Agency Costs, Net Worth, And …Agency Costs, Net Worth, And Business Fluctuations (1988)Agency Costs, Net Worth, And …Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Heterogeneous Agent Models in Finance ✶ ✶Acknowledgments: We are grateful to the editors, Cars Hommes and Blake LeBaron, and three reviewers for their very helpful comments. We also thank the participants to the Workshop “Handbook of Computational Economics, Volume 4, Heterogeneous Agent Models”, hosted by the Amsterdam School of Economics, University of Amsterdam, for insightful discussions and suggestions. We would like to dedicate this survey to the memory of Carl Chiarella who inspired and collaborated with us on a large body of research covered partially in this chapter. Financial support from the Australian Research Council (ARC) under Discovery Grant (DP130103210) is gratefully acknowledged. (2018)Heterogeneous Agent Models in…Empirical Analyses of Networks in Finance (2018)Empirical Analyses of Network…Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction (2018)Assessing systemic risk due t…Statistically validated network of portfolio overlaps and systemic risk (2016)Statistically validated netwo…Entangling Credit and Funding Shocks in Interbank Markets (2016)Entangling Credit and Funding…The dynamics of the leverage cycle (2014)The dynamics of the leverage …Alternative Banking and Theory (2014)Alternative Banking and TheoryCorporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Finance and Growth: Schumpeter Might Be Right (1993)Small Business Credit Availability and Relationship Lending: The Importance of Bank Organisational Structure (2002)Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans (2007)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? 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(2011)Credit Spreads and Business Cycle Fluctuations (2012)Moral Hazard and Observability (1979)Optimal contracts and competitive markets with costly state verification (1979)Theory ahead of business-cycle measurement (1986)Financial Constraints Risk (2006)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Value and Momentum Everywhere (2013)CoVaR (2016)The Debt-Deflation Theory of Great Depressions (1933)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)The European Sovereign Debt Crisis (2012)Populism and the economics of globalization (2018)Systemic Banking Crises Database II (2020)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)A Survey of Corporate Governance (1997)Financial Intermediation, Loanable Funds, and The Real Sector (1997)
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References

  • 1997Credit Cycles5,254 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1988Agency Costs, Net Worth, And Business Fluctuations4,382 cited
  • 1999Chapter 21 The financial accelerator in a quantitative business cycle framework3,549 cited
  • 2009This Time Is Different3,448 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
  • 2012Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–20082,655 cited
  • 2008Liquidity and leverage2,557 cited
  • 1996The Financial Accelerator and the Flight to Quality2,351 cited
  • 2010This time is different: eight centuries of financial folly1,776 cited
  • 2011From Financial Crash to Debt Crisis1,556 cited
  • 2001Naive Diversification Strategies in Defined Contribution Saving Plans1,538 cited
  • 2011Systemic risk in banking ecosystems1,476 cited
  • 1988Agency Costs, Net Worth, And Business Fluctuations1,334 cited
  • 1986Capital Market Equilibrium with Transaction Costs

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  • 2016Statistically validated network of portfolio overlaps and systemic risk96 cited
  • 2018Heterogeneous Agent Models in Finance ✶ ✶Acknowledgments: We are grateful to the editors, Cars Hommes and Blake LeBaron, and three reviewers for their very helpful comments. We also thank the participants to the Workshop “Handbook of Computational Economics, Volume 4, Heterogeneous Agent Models”, hosted by the Amsterdam School of Economics, University of Amsterdam, for insightful discussions and suggestions. We would like to dedicate this survey to the memory of Carl Chiarella who inspired and collaborated with us on a large body of research covered partially in this chapter. Financial support from the Australian Research Council (ARC) under Discovery Grant (DP130103210) is gratefully acknowledged.69 cited
  • 2014The dynamics of the leverage cycle66 cited
  • 2018Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction46 cited
  • 2018Empirical Analyses of Networks in Finance36 cited
  • 2014Alternative Banking and Theory35 cited
  • 2016Entangling Credit and Funding Shocks in Interbank Markets31 cited