Marie Hoerova

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

http://www.mariehoerova.net

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • European Central Bank (ECB)

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

22

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Scholarly Papers (22)

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1.

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

Downloads 2,566 ( 7,552)
Citation 73

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 1,836 (12,715)
Citation 8

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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 725 (49,244)
Citation 7

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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 (872,742)
Citation 18
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Asymmetric information, Counterparty risk, Financial crisis, Interbank market, Liquidity

2.

The VIX, the Variance Premium and Stock Market Volatility

Downloads 2,390 ( 8,434)
Citation 122

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 University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 1,791 (13,233)
Citation 11

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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 University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 348 (120,867)
Citation 32

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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 University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 207 (204,602)
Citation 1

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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 Last Revised: 28 May 2022
Geert Bekaert and Marie Hoerova
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 44 (562,804)
Citation 37

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3.

Risk, Uncertainty and Monetary Policy

Downloads 2,363 ( 8,560)
Citation 230

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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2,095 (10,262)
Citation 8

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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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 96 (374,482)
Citation 1

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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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 82 (413,147)
Citation 12

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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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 60 (489,948)
Citation 9

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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 Last Revised: 22 Apr 2022
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 26 (674,598)

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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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 4 (884,811)
Citation 70
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

4.

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
Charles W. Calomiris, Florian Heider and Marie Hoerova
Columbia University - Columbia Business School, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,629 (15,630)
Citation 40

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

5.

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

Downloads 839 ( 41,074)
Citation 21

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 University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 448 (90,442)
Citation 3

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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 University - Columbia Business School, Finance and European Central Bank (ECB)
Downloads 391 (105,956)
Citation 23

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

6.

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

Downloads 708 ( 51,537)
Citation 30

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

Journal of Finance, 71, 1669-1698 (2016)
Number of pages: 80 Posted: 16 Mar 2010 Last Revised: 24 Apr 2020
Bruno Biais, Florian Heider and Marie Hoerova
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 544 (71,337)
Citation 28

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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 164 (251,066)
Citation 3

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

7.

Risk, Monetary Policy and Asset Prices in a Global World

Number of pages: 80 Posted: 15 May 2020 Last Revised: 19 Aug 2021
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads 595 (64,414)
Citation 24

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Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Interest rate

8.

Interbank Lending, Credit Risk Premia and Collateral

Downloads 510 ( 78,144)
Citation 10

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 308 (137,839)

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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 202 (209,222)

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

9.

Variation Margins, Fire Sales, and Information-Constrained Optimum

Downloads 395 (105,556)
Citation 2

Variation Margins, Fire Sales, and Information-Constrained Optimum

Review of Economic Studies, accepted for publication
Number of pages: 78 Posted: 30 Nov 2015 Last Revised: 24 Apr 2020
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 394 (104,996)
Citation 2

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variation margins, fire sales, pecuniary externality, moral hazard, constrained efficiency, regulation

Variation Margins, Fire Sales, and Information-Constrained Optimality

CEPR Discussion Paper No. DP13192
Number of pages: 63 Posted: 24 Sep 2018
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 (928,815)
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constrained efficiency, fire sales, macro-prudential regulation, Pecuniary externalities, variation margins

10.

Benefits and Costs of Liquidity Regulation

ECB Working Paper No. 2169
Number of pages: 67 Posted: 19 Jul 2018
Marie Hoerova, Caterina Mendicino, Kalin Nikolov, Glenn Schepens, Glenn Schepens and Skander Van den Heuvel
European Central Bank (ECB), European Central Bank (ECB) - Directorate General Research, European Central Bank (ECB), European Central Bank (ECB)European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 324 (131,408)
Citation 5

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Banking, Liquidity regulation, Capital requirements, Central bank, Lender-of-last-resort

11.

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

Downloads 284 (150,755)
Citation 27

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
Carlos Garcia-de-Andoain, Florian Heider, Marie Hoerova and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 234 (181,981)
Citation 25

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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
Carlos Garcia-de-Andoain, Florian Heider, Marie Hoerova and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 49 (537,961)

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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
Carlos Garcia-de-Andoain, Florian Heider, Marie Hoerova and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (928,815)
Citation 2
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central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis

12.

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
Matthieu Bussière, Marie Hoerova and Benjamin Klaus
Banque de France, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 213 (199,335)
Citation 14

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

13.

On Collateral: Implications for Financial Stability and Monetary Policy

ECB Working Paper No. 2107
Number of pages: 51 Posted: 10 Nov 2017
Stefano Corradin, Florian Heider and Marie Hoerova
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 168 (245,621)
Citation 3

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Repo, Haircuts, Margins, Central-Clearing Counterparties, Central Bank Policies

14.

Do Non-Banks Need Access to the Lender of Last Resort? Evidence from Fund Runs

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 40 Posted: 11 May 2021 Last Revised: 29 Oct 2021
Johannes Breckenfelder, Niklas Grimm and Marie Hoerova
European Central Bank (ECB) - Financial Research, European Central Bank, Financial Research Division and European Central Bank (ECB)
Downloads 152 (266,888)

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Investment funds, COVID-19 liquidity crisis, lender of last resort, central bank liquidity provision, asset purchases

15.

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 University of Bern
Downloads 137 (289,704)
Citation 4

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

16.

Money Talks

Downloads 117 (325,415)
Citation 5

Money Talks

FRB of Philadelphia Working Paper No. 09-18
Number of pages: 30 Posted: 22 Aug 2009 Last Revised: 21 Nov 2019
Marie Hoerova, Cyril Monnet and Ted P. Loch-Temzelides
European Central Bank (ECB), University of Bern and Rice University
Downloads 48 (542,782)
Citation 2

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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. Loch-Temzelides
European Central Bank (ECB), University of Bern and Rice University
Downloads 36 (607,175)

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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. Loch-Temzelides
European Central Bank (ECB), University of Bern and Rice University
Downloads 33 (625,726)

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Information, Interest rates, Monetary policy

17.

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 103 (355,110)
Citation 6

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

18.

Money Markets, Central Bank Balance Sheet and Regulation

ECB Working Paper No. 20202483
Number of pages: 46 Posted: 21 Oct 2020 Last Revised: 18 Nov 2021
Stefano Corradin, Jens Eisenschmidt, Marie Hoerova, Tobias Linzert, Glenn Schepens, Glenn Schepens and Jean-David Sigaux
European Central Bank (ECB), Morgan Stanley, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB)European Central Bank (ECB) and European Central Bank (ECB)
Downloads 99 (364,431)

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19.

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 83 (406,143)

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

20.

Commonality in Hedge Fund Returns: Driving Factors and Implications

ECB Working Paper No. 1658
Number of pages: 51 Posted: 20 Mar 2014
Matthieu Bussière, Marie Hoerova and Benjamin Klaus
Banque de France, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 77 (424,136)

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

21.

Money Markets, Collateral and Monetary Policy

Downloads 47 (537,396)
Citation 5

Money Markets, Collateral and Monetary Policy

ECB Working Paper No. 2239 (2019); ISBN 978-92-899-3501-2
Number of pages: 70 Posted: 14 Feb 2019
Fiorella De Fiore, Marie Hoerova and Harald Uhlig
Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) and University of Chicago - Department of Economics
Downloads 40 (584,267)

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money markets, liquidity, collateral, monetary policy

Money Markets, Collateral and Monetary Policy

NBER Working Paper No. w25319
Number of pages: 68 Posted: 03 Dec 2018 Last Revised: 07 Mar 2022
Fiorella De Fiore, Marie Hoerova and Harald Uhlig
Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) and University of Chicago - Department of Economics
Downloads 7 (850,543)
Citation 2

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Money Markets, Collateral and Monetary Policy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-79
Posted: 22 Nov 2018 Last Revised: 15 Dec 2021
Fiorella De Fiore, Marie Hoerova and Harald Uhlig
Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) and University of Chicago - Department of Economics
Downloads 0 (335,116)

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Money Markets, Collateral and Monetary Policy

CEPR Discussion Paper No. DP13335
Number of pages: 70 Posted: 26 Nov 2018 Last Revised: 04 Feb 2022
Fiorella De Fiore, Marie Hoerova and Harald Uhlig
Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) and University of Chicago - Department of Economics
Downloads 0
Citation 2
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balance sheet policies, Collateral, monetary policy, money markets

22.

Variation margins, fire sales, and information-constrained optimality

ECB Working Paper No. 2191
Number of pages: 69 Posted: 31 Oct 2018
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 39 (577,055)
Citation 2

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variation margins, fire sales, pecuniary externalities, constrained efficiency, macro-prudential regulation