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Covered interest rate parity, relative funding liquidity and cross-currency repos
16 references·1 citing·46 second hop
Covered interest rate parity, relative funding liquidity and cross-currency repos (2019)Covered interest rate parity, relative fu…The Dollar, Bank Leverage, and Deviations from Covered Interest Parity (2019)The Dollar, Bank Leverage, an…Funding Value Adjustments (2018)Funding Value AdjustmentsSegmented Money Markets and Covered Interest Parity Arbitrage (2017)Segmented Money Markets and C…The Liquidity Coverage Ratio and security prices (2016)The Liquidity Coverage Ratio …The Failure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets (2016)The Failure of Covered Intere…Re‐Use of Collateral in the Repo Market (2016)Re‐Use of Collateral in the R…Deviations from Covered Interest Rate Parity (2016)Deviations from Covered Inter…The Euro Interbank Repo Market (2015)The Euro Interbank Repo MarketReforming LIBOR and Other Financial Market Benchmarks (2015)Reforming LIBOR and Other Fin…The Liquidity Consequences of the Euro Area Sovereign Debt Crisis (2012)The Liquidity Consequences of…The US Dollar Shortage in Global Banking and the International Policy Response (2009)The US Dollar Shortage in Glo…Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08 (2009)Interpreting deviations from …Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Arbitrage in the foreign exchange market: Turning on the microscope (2008)Arbitrage in the foreign exch…Special Repo Rates (1996)Special Repo RatesCovered Interest Parity: A High-Frequency, High-Quality Data Study (1987)Covered Interest Parity: A Hi…Covered interest parity deviations in standard monetary models (2020)Covered interest parity devia…Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Dynamic Asset Pricing Theory. (1993)The market for borrowing stock (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Liquidity and leverage (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On the Impossibility of Informationally Efficient Markets (1980)Empirical exchange rate models of the seventies (1983)The Economics of Exchange Rates (2003)Empirical modelling of contagion: a review of methodologies (2005)Do Peso Problems Explain the Returns to the Carry Trade? (2010)Libor manipulation? (2011)Benchmarks in Search Markets (2017)Is Fraud Contagious? Co-Worker Influence on Misconduct by Financial Advisors (2017)Corruption in banks: A bibliometric review and agenda (2020)Credit Rationing in Markets with Imperfect Information (1981)Securitized banking and the run on repo (2011)Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? (2016)Wholesale Funding Dry‐Ups (2017)Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets (2023)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Carry Trades and Currency Crashes (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Presidential Address: Discount Rates (2011)On the Impossibility of Informationally Efficient Markets (1980)The Limits of Arbitrage (1995)Common Risk Factors in Currency Markets (2011)Carry Trades and Global Foreign Exchange Volatility (2012)Agency Costs, Net Worth, And Business Fluctuations (1988)Intermediary asset pricing: New evidence from many asset classes (2017)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)Foreign Safe Asset Demand and the Dollar Exchange Rate (2021)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)Credit migration and covered interest rate parity (2020)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)Treasury inconvenience yields during the COVID-19 crisis (2021)Financial Intermediation, Loanable Funds, and The Real Sector (1997)A Macroeconomic Model with a Financial Sector (2014)Exchange Rate Reconnect (2020)The Global Financial Cycle (2022)
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References

  • 2008Market Liquidity and Funding Liquidity5,147 cited
  • 2016Deviations from Covered Interest Rate Parity756 cited
  • 1996Special Repo Rates461 cited
  • 2008Arbitrage in the foreign exchange market: Turning on the microscope374 cited
  • 2019The Dollar, Bank Leverage, and Deviations from Covered Interest Parity249 cited
  • 2009Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08205 cited
  • 2018Funding Value Adjustments187 cited
  • 1987Covered Interest Parity: A High-Frequency, High-Quality Data Study182 cited
  • 2015Reforming LIBOR and Other Financial Market Benchmarks144 cited
  • 2015The Euro Interbank Repo Market139 cited
  • 2009The US Dollar Shortage in Global Banking and the International Policy Response136 cited
  • 2016The Failure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets117 cited
  • 2012The Liquidity Consequences of the Euro Area Sovereign Debt Crisis98 cited
  • 2017Segmented Money Markets and Covered Interest Parity Arbitrage74 cited
  • 2016Re‐Use of Collateral in the Repo Market53 cited
  • 2016

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The Liquidity Coverage Ratio and security prices
33 cited

Cited by

  • 2020Covered interest parity deviations in standard monetary models9 cited