Market liquidity and funding liquidity
Citations
3,033 citations
Cites background from "Market liquidity and funding liquid..."
...Source: Brunnermeier and Pedersen (2009)....
[...]
...Brunnermeier and Pedersen (2009) show that a vicious cycle emerges, where higher margins and haircuts force de-leveraging and more sales, which increase margins further and force more sales, leading to the possibility of multiple equilibria....
[...]
...It is useful to divide the concept of liquidity into two categories: funding liquidity and market liquidity (Brunnermeier and Pedersen, 2009)....
[...]
...positions at fire-sale prices. ( Brunnermeier and Pedersen, 2005 )....
[...]
...5 First, unexpected price shocks may be a harbinger of higher future volatility (Brunnermeier and Pedersen, 2009)....
[...]
1,950 citations
1,900 citations
Cites background from "Market liquidity and funding liquid..."
...3 Let ht be the Lagrangian multiplier for the incentive constraint (11) faced by bank of type h and t P...
[...]
1,624 citations
Cites background from "Market liquidity and funding liquid..."
...41 Brunnermeier (2009) and Brunnermeier and Pedersen (2009), for example....
[...]
[...]
1,431 citations
Cites background from "Market liquidity and funding liquid..."
...Furthermore, funding liquidity risk is linked to market liquidity risk (Gromb and Vayanos, 2002; Brunnermeier and Pedersen, 2009), which also affects required returns (Acharya and Pedersen, 2005)....
[...]
References
5,703 citations
"Market liquidity and funding liquid..." refers background in this paper
...9 See also DeLong, Shleifer, Summers, and Waldmann (1990) and Abreu and Brunnermeier (2002)....
[...]
4,286 citations
3,997 citations
3,585 citations
"Market liquidity and funding liquid..." refers background in this paper
...Liu and Longstaff (2004) derive the optimal dynamic arbitrage strategy under funding constraints in a setting with an exogenous price process....
[...]
...This literature explains how funding liquidity problems arise because of agency problems combined with contract and market incompleteness (see e.g. Hart (1995) and references therein)....
[...]
2,821 citations
"Market liquidity and funding liquid..." refers background or methods in this paper
...Shleifer and Vishny (1992) show, within a corporate finance context, that a funding crisis can lead to “fire sales” of machines since potential buyers of these industry-specific machines also face similar funding problems at the same time....
[...]
...In Stiglitz and Weiss (1981) credit rationing is due to adverse selection and moral hazard in the lending market, and Geanakoplos (2003) considers endogenous contracts in a general-equilibrium framework of imperfect commitment....
[...]
...Our model applies the corporate finance insights of Shleifer and Vishny (1992) and Allen and Gale to study endogenous market liquidity when the market making sector faces margins constraints of different forms....
[...]