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Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK
16 references·6 citing·41 second hop
Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK (2018)Financial market illiquidity shocks and m…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Measuring the Macroeconomic I…A model of unconventional monetary policy (2010)A model of unconventional mon…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)What are the effects of monet…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Stock Markets, Banks, and Economic Growth (1999)Stock Markets, Banks, and Eco…Stock Markets, Banks, and Economic Growth (1996)Stock Markets, Banks, and Eco…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Stock Market Liquidity: A Literature Review (2021)Stock Market Liquidity: A Lit…Retail investors’ trading and stock market liquidity (2020)Retail investors’ trading and…Macro-Financial Spillovers (2020)Macro-Financial SpilloversMeasuring the multi-faceted dimension of liquidity in financial markets: A literature review (2019)Measuring the multi-faceted d…Global liquidity, money growth and UK inflation (2019)Global liquidity, money growt…Economic policy uncertainty and stock market liquidity: Evidence from G7 countries (2019)Economic policy uncertainty a…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the mechanics of economic development (1988)A Contribution to the Empirics of Economic Growth (1992)Finance and Growth: Schumpeter Might Be Right (1993)Finance and Growth: Theory and Evidence (2004)Chapter 12 Finance and Growth: Theory and Evidence (2005)Law, finance, and economic growth in China (2005)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Liquidity and leverage (2008)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Financial intermediation and growth: Causality and causes (2000)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1996Stock Markets, Banks, and Economic Growth3,889 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1999Stock Markets, Banks, and Economic Growth2,881 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2010A model of unconventional monetary policy2,439 cited
  • 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure2,303 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound1,840 cited

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  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • Cited by

    • 2019Economic policy uncertainty and stock market liquidity: Evidence from G7 countries78 cited
    • 2019Measuring the multi-faceted dimension of liquidity in financial markets: A literature review61 cited
    • 2021Stock Market Liquidity: A Literature Review57 cited
    • 2020Retail investors’ trading and stock market liquidity37 cited
    • 2020Macro-Financial Spillovers36 cited
    • 2019Global liquidity, money growth and UK inflation15 cited