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European Central Bank (ECB)
Centre for Economic Policy Research (CEPR)
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Interbank market; Endogenous liquidity; Counterparty risk; Asymmetric information; Market break-down; Financial crisis
Financial crisis, Interbank market, Liquidity, Counterparty risk, Asymmetric information
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7762.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Asymmetric information, Counterparty risk, Financial crisis, Interbank market, Liquidity
Monetary policy; Option implied volatility; Risk aversion; Uncertainty; Business cycle
Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle, stock market volatility dynamics
Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle
Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics
File name: DP8154.
business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty
option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability
option implied volatility; realized volatility; VIX; variance risk premium; risk aversion; stock return predictability; risk-return trade-off; economic uncertainty; financial instability
Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics
Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress
Hedging, Insurance, Derivatives, Moral hazard, Risk management, Counterparty risk, Contagion, Margin requirements
insurance, moral hazard, counterparty risk, margin requirements, derivatives
Financial crisis, Interbank market, Liquidity, Credit risk, Collateral
Liquidity regulation, reserve requirements, bank runs, deposit insurance, moral hazard, risk management
Lender-of-last-resort, Interbank Markets, Financial Crisis, Sovereign Debt Crisis, Central Bank Policy
lender-of-last-resort, interbank markets, financial crisis, sovereign debt
File name: DP10901.
central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis
Hedge funds, Commonality, Risk factors, Liquidity, Financial crisis
Information, Interest rates, Monetary policy
information, interest rates, monetary policy
Bank runs, Asset markets, Liquidity, Financial stability, Mechanism design
Risk-sharing, moral hazard, optimal contracting, counterparty risk, central clearing counterparty, mutualization, aggregate and idiosyncratic risk
This is a Palgrave MacMillan paper. Palgrave MacMillan charges $30.00 .
File name: imfer.
hedge funds, commonality, risk factors, liquidity, financial crisis
Asymmetric information, Money market, Rationing, Collateral, Central bank
Insurance; Derivatives; Moral hazard; Risk-management; Margin requirements; Contagion; Fire-sales
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