Market liquidity and funding liquidity
Citations
3,033 citations
Cites background from "Market liquidity and funding liquid..."
...Source: Brunnermeier and Pedersen (2009)....
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...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....
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...It is useful to divide the concept of liquidity into two categories: funding liquidity and market liquidity (Brunnermeier and Pedersen, 2009)....
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...positions at fire-sale prices. ( Brunnermeier and Pedersen, 2005 )....
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...5 First, unexpected price shocks may be a harbinger of higher future volatility (Brunnermeier and Pedersen, 2009)....
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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...
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1,624 citations
Cites background from "Market liquidity and funding liquid..."
...41 Brunnermeier (2009) and Brunnermeier and Pedersen (2009), for example....
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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)....
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References
902 citations
"Market liquidity and funding liquid..." refers background or result in this paper
...Our commonality results can also be related to certain work on contagion (see e.g. Allen and Gale (2000), Kyle and Xiong (2001), and Brunnermeier and Pedersen (2005))....
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...Most directly related are the models with margin-constrained traders, including Liu and Longstaff (2004) who derive optimal strategies in a partial equilibrium with a single security, and Gromb and Vayanos (2002) who derive a general equilibrium with one security and study welfare and liquidity provision....
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857 citations
"Market liquidity and funding liquid..." refers background in this paper
...The market liquidity literature shows that a security can be costly to trade — that is, has less than perfect market liquidity — because of exogenous order-processing costs, private information (Kyle (1985) and Glosten and Milgrom (1985)), inventory risk of market makers (e....
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...Empirically, Chordia, Roll, and Subrahmanyam (2000), Hasbrouck and Seppi (2001) and Huberman and Halka (2001) document that there is commonality of stocks’ market liquidity, that is, market liquidity is correlated across stocks.13 Our model shows that this commonality in market liquidity can be…...
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...This may help explain why market liquidity is correlated across stocks (Chordia, Roll, and Subrahmanyam (2000), Hasbrouck and Seppi (2001) and Huberman and Halka (2001)), and across stocks and bonds (Chordia, Sarkar, and Subrahmanyam (2005))....
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