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

19

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1,248

Scholarly Papers (19)

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1.

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

Downloads 2,421 ( 5,455)
Citation 60

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 1,728 (9,401)
Citation 6

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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 688 (37,242)
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 (662,114)
Citation 6
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Asymmetric information, Counterparty risk, Financial crisis, Interbank market, Liquidity

2.

Risk, Uncertainty and Monetary Policy

Downloads 2,212 ( 6,334)
Citation 186

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 1,965 (7,593)
Citation 9

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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 (286,598)
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 (329,821)
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 56 (385,884)
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 (562,928)

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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 (678,558)
Citation 44
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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 2,107 ( 6,868)
Citation 91

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 1,565 (11,074)
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 323 (95,342)
Citation 23

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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 185 (168,097)
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 (473,949)
Citation 9

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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 1,315 (14,825)
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 769 ( 32,488)
Citation 15

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 432 (67,871)

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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 337 (90,880)
Citation 18

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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 631 ( 42,481)
Citation 33

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 480 (59,670)
Citation 11

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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 151 (200,736)
Citation 3

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

7.

Interbank Lending, Credit Risk Premia and Collateral

Downloads 440 ( 67,008)
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 254 (123,579)

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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 186 (167,268)

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

8.

Variation Margins, Fire Sales, and Information-Constrained Optimum

Downloads 264 (119,170)
Citation 2

Variation Margins, Fire Sales, and Information-Constrained Optimum

Number of pages: 68 Posted: 30 Nov 2015 Last Revised: 08 Jun 2019
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 263 (119,062)
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 (703,156)
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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 244 (129,310)
Citation 15

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 200 (156,367)
Citation 15

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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 43 (433,863)

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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 (703,156)
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 206 (152,325)
Citation 14

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

11.

Money Talks

Downloads 103 (267,695)
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 45 (425,755)
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 (473,949)

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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 (530,067)

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Information, Interest rates, Monetary policy

12.

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 100 (273,215)

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

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 94 (284,451)
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 93 (286,460)
Citation 2

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

15.

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 79 (316,723)
Citation 1

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

16.

Money Markets, Collateral and Monetary Policy

Downloads 78 (319,076)
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 47 (417,868)

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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 27 (511,478)

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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 (669,883)
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

17.

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 76 (323,934)

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

18.

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 59 (370,566)

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

19.

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 18 (549,751)

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