Marie Hoerova

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • European Central Bank (ECB)

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

20

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1,214

CROSSREF CITATIONS

1,249

Scholarly Papers (20)

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1.

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

Downloads 2,460 ( 5,698)
Citation 66

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 1,753 (9,860)
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 702 (38,507)
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 (693,731)
Citation 12
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Asymmetric information, Counterparty risk, Financial crisis, Interbank market, Liquidity

2.

Risk, Uncertainty and Monetary Policy

Downloads 2,236 ( 6,699)
Citation 204

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 1,988 (8,019)
Citation 10

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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 Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 94 (300,804)
Citation 4

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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 Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 75 (346,143)
Citation 13

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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 Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 57 (400,907)
Citation 8

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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: 19 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 19 (589,301)

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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 Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 3 (710,933)
Citation 59
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

3.

The VIX, the Variance Premium and Stock Market Volatility

Downloads 2,151 ( 7,130)
Citation 100

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 1,602 (11,389)
Citation 10

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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 Business School - Finance and Economics and European Central Bank (ECB)
Downloads 327 (99,431)
Citation 26

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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 Business School - Finance and Economics and European Central Bank (ECB)
Downloads 188 (174,399)
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: 01 May 2013
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 34 (496,452)
Citation 14

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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 1,384 (14,621)
Citation 36

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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 786 ( 33,490)
Citation 17

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 435 (71,316)
Citation 1

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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 Business School - Finance and Economics and European Central Bank (ECB)
Downloads 351 (91,818)
Citation 19

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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 646 ( 43,700)
Citation 40

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 493 (61,119)
Citation 19

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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 153 (208,933)
Citation 3

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

7.

Interbank Lending, Credit Risk Premia and Collateral

Downloads 451 ( 68,887)
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 264 (125,263)

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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 187 (175,275)

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

8.

Variation Margins, Fire Sales, and Information-Constrained Optimum

Downloads 289 (114,443)
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 288 (114,245)
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 (736,422)
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constrained efficiency, fire sales, macro-prudential regulation, Pecuniary externalities, variation margins

9.

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

Downloads 250 (133,194)
Citation 18

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 205 (160,903)
Citation 18

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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 44 (450,354)

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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 (736,422)
Citation 2
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central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis

10.

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 208 (159,025)
Citation 14

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

11.

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 and Skander Van den Heuvel
European Central Bank (ECB), Bank of Portugal, European Central Bank (ECB), ECB -Financial Research Division and Board of Governors of the Federal Reserve System
Downloads 120 (252,390)
Citation 3

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

12.

Money Talks

Downloads 105 (277,606)
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. Temzelides
European Central Bank (ECB), Federal Reserve Bank of Philadelphia and Rice University
Downloads 47 (438,006)
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. Temzelides
European Central Bank (ECB), Federal Reserve Bank of Philadelphia and Rice University
Downloads 34 (496,452)

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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. Temzelides
European Central Bank (ECB), Federal Reserve Bank of Philadelphia and Rice University
Downloads 24 (555,047)

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Information, Interest rates, Monetary policy

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 104 (279,450)
Citation 1

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

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 101 (285,021)
Citation 2

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

15.

Money Markets, Collateral and Monetary Policy

Downloads 92 (302,713)
Citation 3

Money Markets, Collateral and Monetary Policy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-79
Number of pages: 67 Posted: 22 Nov 2018
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 58 (397,461)

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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 30 (517,864)

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money markets, liquidity, collateral, monetary policy

Money Markets, Collateral and Monetary Policy

NBER Working Paper No. w25319
Number of pages: 67 Posted: 03 Dec 2018
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 4 (701,897)
Citation 1
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Money Markets, Collateral and Monetary Policy

CEPR Discussion Paper No. DP13335
Number of pages: 69 Posted: 26 Nov 2018
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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Eurozone, haircuts, money markets, unsecured interbank market

16.

Risk, Uncertainty and Monetary Policy in a Global World

Number of pages: 63 Posted: 15 May 2020 Last Revised: 18 May 2020
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia Business School - Finance and Economics, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads 82 (325,096)
Citation 5

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Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Exchange rates, Commodity prices

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 82 (325,096)
Citation 3

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

18.

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 78 (334,803)

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

19.

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 65 (370,055)

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

20.

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 22 (550,689)

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