Marie Hoerova

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

Centre for Economic Policy Research (CEPR)

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

15

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9,412

CITATIONS
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Top 5,744

in Total Papers Citations

89

Scholarly Papers (15)

Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

Journal of Financial Economics (JFE), 118, 336-354 (2015)
Number of pages: 53 Posted: 22 Mar 2009 Last Revised: 24 May 2016
Florian Heider, Marie Hoerova and Cornelia Holthausen
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,602 (8,143)
Citation 44

Abstract:

Interbank market; Endogenous liquidity; Counterparty risk; Asymmetric information; Market break-down; Financial crisis

Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

ECB Working Paper No. 1126
Number of pages: 66 Posted: 12 Dec 2009
Florian Heider, Marie Hoerova and Cornelia Holthausen
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 569 (38,337)
Citation 44

Abstract:

Financial crisis, Interbank market, Liquidity, Counterparty risk, Asymmetric information

Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

CEPR Discussion Paper No. DP7762
Number of pages: 59 Posted: 05 Apr 2010
Florian Heider, Marie Hoerova and Cornelia Holthausen
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 5 (551,910)
Citation 44
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Abstract:

Asymmetric information, Counterparty risk, Financial crisis, Interbank market, Liquidity

2.
Downloads 2,003 ( 5,665)
Citation 21

Risk, Uncertainty and Monetary Policy

Journal of Monetary Economics, Vol. 60, Vol. 7, pp. 771-788, 2013
Number of pages: 34 Posted: 08 Mar 2010 Last Revised: 17 Sep 2015
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,801 (6,669)
Citation 21

Abstract:

Monetary policy; Option implied volatility; Risk aversion; Uncertainty; Business cycle

Risk, Uncertainty and Monetary Policy

Netspar Discussion Paper No. 05/2011-102
Number of pages: 42 Posted: 08 May 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 83 (257,252)
Citation 21

Abstract:

Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle, stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

ECB Working Paper No. 1565
Number of pages: 40 Posted: 12 Aug 2013
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 55 (323,386)
Citation 21

Abstract:

Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle

Risk, Uncertainty and Monetary Policy

National Bank of Belgium Working Paper No. 229
Number of pages: 63 Posted: 13 Oct 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 44 (357,981)
Citation 21

Abstract:

Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

NBER Working Paper No. w16397
Number of pages: 51 Posted: 18 Oct 2010
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 17 (484,720)
Citation 21

Abstract:

Risk, Uncertainty and Monetary Policy

CEPR Discussion Paper No. DP8154
Number of pages: 44 Posted: 27 Dec 2010
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 3 (563,091)
Citation 21
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Abstract:

business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 1,379 (10,402)
Citation 2

Abstract:

option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

ECB Working Paper No. 1675
Number of pages: 36 Posted: 04 Jul 2014
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 294 (85,860)
Citation 2

Abstract:

option implied volatility; realized volatility; VIX; variance risk premium; risk aversion; stock return predictability; risk-return trade-off; economic uncertainty; financial instability

The VIX, the Variance Premium and Stock Market Volatility

Netspar Discussion Paper No. 10/2013-035
Number of pages: 36 Posted: 19 Oct 2013
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 159 (157,929)
Citation 2

Abstract:

option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

NBER Working Paper No. w18995
Number of pages: 41 Posted: 28 Apr 2013
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 22 (455,623)
Citation 2

Abstract:

What Do Asset Prices Have to Say about Risk Appetite and Uncertainty?

ECB Working Paper No. 1037
Number of pages: 47 Posted: 15 Apr 2009
Geert Bekaert, Marie Hoerova and Martin Scheicher
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 414 (57,460)
Citation 4

Abstract:

Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics

What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?

Journal of Banking and Finance, Forthcoming
Number of pages: 58 Posted: 20 Jun 2015 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 247 (103,670)
Citation 3

Abstract:

Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress

Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

Journal of Finance, Forthcoming
Number of pages: 80 Posted: 16 Mar 2010 Last Revised: 11 Sep 2015
Bruno Biais, Florian Heider and Marie Hoerova
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 423 (55,954)
Citation 7

Abstract:

Hedging, Insurance, Derivatives, Moral hazard, Risk management, Counterparty risk, Contagion, Margin requirements

Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

ECB Working Paper No. 1413
Number of pages: 49 Posted: 13 Jan 2012
Bruno Biais, Florian Heider and Marie Hoerova
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 145 (170,917)
Citation 7

Abstract:

insurance, moral hazard, counterparty risk, margin requirements, derivatives

6.
Downloads 379 ( 64,511)
Citation 1

Interbank Lending, Credit Risk Premia and Collateral

ECB Working Paper No. 1107
Number of pages: 46 Posted: 13 Nov 2009
Florian Heider and Marie Hoerova
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 217 (118,209)
Citation 1

Abstract:

Financial crisis, Interbank market, Liquidity, Credit risk, Collateral

Interbank Lending, Credit Risk Premia and Collateral

International Journal of Central Banking, Vol. 5, pp. 1-39
Number of pages: 37 Posted: 08 Dec 2009
Florian Heider and Marie Hoerova
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 162 (155,379)
Citation 1

Abstract:

Financial crisis, Interbank market, Liquidity, Credit risk, Collateral

7.

A Theory of Bank Liquidity Requirements

Columbia Business School Research Paper No. 14-39
Number of pages: 43 Posted: 07 Aug 2014 Last Revised: 15 Apr 2015
Columbia University - Columbia Business School, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 354 (19,193)
Citation 1

Abstract:

Liquidity regulation, reserve requirements, bank runs, deposit insurance, moral hazard, risk management

Lending-of-Last-Resort Is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

Journal of Financial Intermediation, Forthcoming
Number of pages: 58 Posted: 23 Sep 2015 Last Revised: 24 May 2016
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 162 (155,379)

Abstract:

Lender-of-last-resort, Interbank Markets, Financial Crisis, Sovereign Debt Crisis, Central Bank Policy

Lending-of-Last-Resort is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

ECB Working Paper No. 1886
Number of pages: 62 Posted: 25 Feb 2016
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 38 (379,669)

Abstract:

lender-of-last-resort, interbank markets, financial crisis, sovereign debt

Lending-of-Last-Resort is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

CEPR Discussion Paper No. DP10901
Number of pages: 62 Posted: 28 Oct 2015
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (583,098)
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Abstract:

central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis

9.

Commonality in Hedge Fund Returns: Driving Factors and Implications

Journal of Banking and Finance, Vol. 54, pp. 266-280, 2015
Number of pages: 47 Posted: 05 Apr 2012 Last Revised: 24 Sep 2015
Banque de France, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 168 (133,205)
Citation 1

Abstract:

Hedge funds, Commonality, Risk factors, Liquidity, Financial crisis

10.
Downloads 84 (253,127)
Citation 2

Money Talks

FRB of Philadelphia Working Paper No. 09-18
Number of pages: 30 Posted: 22 Aug 2009 Last Revised: 25 Apr 2012
Marie Hoerova, Cyril Monnet and Ted P. Temzelides
European Central Bank (ECB), Federal Reserve Bank of Philadelphia and Rice University
Downloads 41 (368,480)
Citation 2

Abstract:

Information, Interest rates, Monetary policy

Money Talks

ECB Working Paper No. 1091
Number of pages: 38 Posted: 16 Oct 2009
Marie Hoerova, Cyril Monnet and Ted P. Temzelides
European Central Bank (ECB), Federal Reserve Bank of Philadelphia and Rice University
Downloads 30 (413,115)
Citation 2

Abstract:

information, interest rates, monetary policy

Money Talks

Economics Letters, Vol. 116, No. 3, pp. 617-621, 2012
Number of pages: 35 Posted: 28 Apr 2012 Last Revised: 17 Sep 2015
Marie Hoerova, Cyril Monnet and Ted P. Temzelides
European Central Bank (ECB), Federal Reserve Bank of Philadelphia and Rice University
Downloads 13 (508,028)
Citation 2

Abstract:

Information, Interest rates, Monetary policy

11.

Run-Prone Banking and Asset Markets

ECB Working Paper No. 845
Number of pages: 41 Posted: 21 Dec 2007
Marie Hoerova
European Central Bank (ECB)
Downloads 62 (273,059)
Citation 1

Abstract:

Bank runs, Asset markets, Liquidity, Financial stability, Mechanism design

12.
Downloads 61 (302,893)
Citation 3

Clearing, Counterparty Risk and Aggregate Risk

ECB Working Paper No. 1481
Number of pages: 49 Posted: 18 Oct 2012
Bruno Biais, Florian Heider and Marie Hoerova
University of Toulouse 1 - Toulouse School of Economics (TSE), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 60 (309,485)
Citation 3

Abstract:

Risk-sharing, moral hazard, optimal contracting, counterparty risk, central clearing counterparty, mutualization, aggregate and idiosyncratic risk

Clearing, Counterparty Risk, and Aggregate Risk

IMF Economic Review, Vol. 60, Issue 2, pp. 193-222, 2012
Number of pages: 30 Posted: 30 Jun 2012
Bruno Biais, Florian Heider and Marie Hoerova
University of Toulouse 1 - Toulouse School of Economics (TSE), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (583,098)
Citation 3
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Abstract:

13.

Commonality in Hedge Fund Returns: Driving Factors and Implications

ECB Working Paper No. 1658
Number of pages: 51 Posted: 20 Mar 2014
Banque de France, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 45 (330,208)
Citation 1

Abstract:

hedge funds, commonality, risk factors, liquidity, financial crisis

14.

Money Market Discipline and Central Bank Lending

Number of pages: 40 Posted: 30 May 2016
Marie Hoerova and Cyril Monnet
European Central Bank (ECB) and Federal Reserve Bank of Philadelphia
Downloads 0 (368,351)

Abstract:

Asymmetric information, Money market, Rationing, Collateral, Central bank

15.

Optimal Margins and Equilibrium Prices

Number of pages: 45 Posted: 30 Nov 2015
Bruno Biais, Florian Heider and Marie Hoerova
University of Toulouse 1 - Toulouse School of Economics (TSE), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 0 (189,733)

Abstract:

Insurance; Derivatives; Moral hazard; Risk-management; Margin requirements; Contagion; Fire-sales