Darrell Duffie
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Darrell Duffie & Jeremy C. Stein, 2015.
"Reforming LIBOR and Other Financial Market Benchmarks,"
Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 191-212, Spring.
Mentioned in:
- Eclipsing LIBOR
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-09-04 17:29:38 - Replacing LIBOR
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2019-08-26 12:22:06
- Eclipsing LIBOR
- Darrell Duffie, 2015.
"Resolution of Failing Central Counterparties,"
Book Chapters, in: Kenneth E. Scott & Thomas H. Jackson & John B. Taylor (ed.), Making Failure Feasible, chapter 4,
Hoover Institution, Stanford University.
Mentioned in:
- Resolution Regimes for Central Clearing Parties
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-10-09 18:02:53
- Resolution Regimes for Central Clearing Parties
- Author Profile
- Peer Group as of April 2015
by Matthew Kahn in Environmental and Urban Economics on 2015-05-03 19:55:00 - Ranking California Economists as of May 2015
by Matthew Kahn in Environmental and Urban Economics on 2015-06-04 02:25:00 - Room for Improvement
by Matthew Kahn in Environmental and Urban Economics on 2018-11-08 22:59:00
- Peer Group as of April 2015
Working papers
- Darrell Duffie & Frank M. Keane, 2023.
"Market-Function Asset Purchases,"
Staff Reports
1054, Federal Reserve Bank of New York.
Cited by:
- Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
- David Cimon & Adrian Walton, 2022.
"Central Bank Liquidity Facilities and Market Making,"
Staff Working Papers
22-9, Bank of Canada.
- Cimon, David A. & Walton, Adrian, 2024. "Central bank liquidity facilities and market making," Journal of Banking & Finance, Elsevier, vol. 162(C).
- Ethan Struby & Michael F. Connolly, 2023. "Treasury Buybacks, the Fed's Portfolio, and Local Supply," Working Papers 2023-02, Carleton College, Department of Economics.
- Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023.
"Dealer capacity and US Treasury market functionality,"
BIS Working Papers
1138, Bank for International Settlements.
- Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
Cited by:
- Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
- Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.
- David Cimon & Adrian Walton, 2022.
"Central Bank Liquidity Facilities and Market Making,"
Staff Working Papers
22-9, Bank of Canada.
- Cimon, David A. & Walton, Adrian, 2024. "Central bank liquidity facilities and market making," Journal of Banking & Finance, Elsevier, vol. 162(C).
- Cooperman, Harry & Duffie, Darrell & Luck, Stephan & Wang, Zachry & Yang, Yilin (David), 2022.
"Bank Funding Risk, Reference Rates, and Credit Supply,"
Research Papers
4066, Stanford University, Graduate School of Business.
- Darrell Duffie & Cooperman Harry & Stephan Luck & Zachry Wang & Yilin Yang, 2022. "Bank Funding Risk, Reference Rates, and Credit Supply," Staff Reports 1042, Federal Reserve Bank of New York.
- Harry R. Cooperman & Darrell Duffie & Stephan Luck & Zachry Z. Wang & Yilin Yang, 2023. "Bank Funding Risk, Reference Rates, and Credit Supply," NBER Working Papers 30907, National Bureau of Economic Research, Inc.
Cited by:
- David P. Glancy & Felicia Ionescu & Elizabeth C. Klee & Antonis Kotidis & Michael Siemer & Andrei Zlate, 2024. "The 2023 Banking Turmoil and the Bank Term Funding Program," Finance and Economics Discussion Series 2024-045, Board of Governors of the Federal Reserve System (U.S.).
- Mario Cerrato & Shengfeng Mei, 2024. "Quantitative Easing, Banks’ Funding Costs and Credit Line Prices," Working Papers 2024_05, Business School - Economics, University of Glasgow.
- Tobias J. Moskowitz & Chase P. Ross & Sharon Y. Ross & Kaushik Vasudevan, 2024. "Quantities and Covered-Interest Parity," Finance and Economics Discussion Series 2024-061, Board of Governors of the Federal Reserve System (U.S.).
- Urban Jermann, 2024.
"Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 65(2), pages 141-152, June.
- Urban Jermann, 2021. "Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans," NBER Working Papers 29614, National Bureau of Economic Research, Inc.
- Sergio A. Correia & Stephan Luck & Emil Verner, 2024.
"Failing Banks,"
Staff Reports
1117, Federal Reserve Bank of New York.
- Sergio A. Correia & Stephan Luck & Emil Verner, 2024. "Failing Banks," NBER Working Papers 32907, National Bureau of Economic Research, Inc.
- Sven Klingler & Olav Syrstad, 2023. "Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?," Working Paper 2023/7, Norges Bank.
- Joseph G. Haubrich, 2023. "Financial Stability: Frontier Risks, a New Normal, and Policy Challenges," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2023(14), pages 1-5, August.
- Gara Afonso & Darrell Duffie & Lorenzo Rigon & Hyun Song Shin, 2022.
"How abundant are reserves? Evidence from the wholesale payment system,"
BIS Working Papers
1053, Bank for International Settlements.
- Gara Afonso & Darrell Duffie & Lorenzo Rigon & Hyun Song Shin, 2022. "How Abundant Are Reserves? Evidence from the Wholesale Payment System," NBER Working Papers 30736, National Bureau of Economic Research, Inc.
- Gara Afonso & Darrell Duffie & Lorenzo Rigon & Hyun Song Shin, 2022. "How Abundant Are Reserves? Evidence from the Wholesale Payment System," Staff Reports 1040, Federal Reserve Bank of New York.
- Afonso, Gara & Duffie, Darrell & Rigon, Lorenzo & Shin, Hyun Song, 2022. "How Abundant Are Reserves? Evidence from the Wholesale Payment System," Research Papers 4062, Stanford University, Graduate School of Business.
Cited by:
- Narayan Bulusu & Matthew McNeely & Kaetlynd McRae & Jonathan Witmer, 2023. "Estimating the Appropriate Quantity of Settlement Balances in a Floor System," Discussion Papers 2023-26, Bank of Canada.
- Girotti, Mattia & Horny, Guillaume, 2023. "Monetary policy transmission through banks when liquidity is abundant but unevenly distributed," Finance Research Letters, Elsevier, vol. 56(C).
- Joseph G. Haubrich, 2023. "Financial Stability: Frontier Risks, a New Normal, and Policy Challenges," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2023(14), pages 1-5, August.
- Copeland, Adam & Duffie, Darrell & Yang, Yilin (David), 2021.
"Reserves Were Not So Ample after All,"
Research Papers
3974, Stanford University, Graduate School of Business.
- Adam Copeland & Darrell Duffie & Yilin Yang, 2021. "Reserves Were Not So Ample After All," Staff Reports 974, Federal Reserve Bank of New York.
- Adam Copeland & Darrell Duffie & Yilin Yang, 2021. "Reserves Were Not So Ample After All," NBER Working Papers 29090, National Bureau of Economic Research, Inc.
Cited by:
- Dautović, Ernest & Gambacorta, Leonardo & Reghezza, Alessio, 2023.
"Supervisory Policy Stimulus: Evidence from the Euro Area Dividend Recommendation,"
CEPR Discussion Papers
18175, C.E.P.R. Discussion Papers.
- Ernest Dautović & Leonardo Gambacorta & Alessio Reghezza, 2023. "Supervisory policy stimulus: evidence from the euro area dividend recommendation," BIS Working Papers 1085, Bank for International Settlements.
- Dautović, Ernest & Gambacorta, Leonardo & Reghezza, Alessio, 2023. "Supervisory policy stimulus: evidence from the euro area dividend recommendation," Working Paper Series 2796, European Central Bank.
- Javier Bianchi & Saki Bigio & Charles Engel, 2022.
"Scrambling for Dollars: International Liquidity, Banks and Exchange Rates,"
Working Papers
182, Peruvian Economic Association.
- Javier Bianchi & Saki Bigio & Charles Engel, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," Working Papers 786, Federal Reserve Bank of Minneapolis.
- Javier Bianchi & Saki Bigio & Charles Engel, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," NBER Working Papers 29457, National Bureau of Economic Research, Inc.
- Engel, Charles & Bianchi, Javier & Bigio, Saki, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," CEPR Discussion Papers 16712, C.E.P.R. Discussion Papers.
- Jordan Barone & Alain P. Chaboud & Adam Copeland & Cullen Kavoussi & Frank M. Keane & Seth Searls, 2023.
"The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions in March 2020,"
Economic Policy Review, Federal Reserve Bank of New York, vol. 29(3), pages 1-29, December.
- Jordan Barone & Alain P. Chaboud & Adam Copeland & Cullen Kavoussi & Frank M. Keane & Seth Searls, 2022. "The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions in March 2020," Staff Reports 1010, Federal Reserve Bank of New York.
- Egemen Eren & Philip Wooldridge, 2021. "Non-bank financial institutions and the functioning of government bond markets," BIS Papers, Bank for International Settlements, number 119.
- Girotti, Mattia & Horny, Guillaume, 2023. "Monetary policy transmission through banks when liquidity is abundant but unevenly distributed," Finance Research Letters, Elsevier, vol. 56(C).
- Smith, A. Lee & Valcarcel, Victor J., 2023.
"The financial market effects of unwinding the Federal Reserve’s balance sheet,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Andrew Lee Smith & Victor J. Valcarcel, 2021. "The Financial Market Effects of Unwinding the Federal Reserve’s Balance Sheet," Research Working Paper RWP 20-23, Federal Reserve Bank of Kansas City.
- Paulick, Jan, 2022. "Financial market infrastructures : Essays on liquidity, participant behaviour and information extraction," Other publications TiSEM 004942ed-f68d-40cc-a830-b, Tilburg University, School of Economics and Management.
- Eisenschmidt, Jens & Ma, Yiming & Zhang, Anthony Lee, 2022.
"Monetary policy transmission in segmented markets,"
Working Paper Series
2706, European Central Bank.
- Eisenschmidt, Jens & Ma, Yiming & Zhang, Anthony Lee, 2024. "Monetary policy transmission in segmented markets," Journal of Financial Economics, Elsevier, vol. 151(C).
- Kahn, R. Jay & McCormick, Matthew & Nguyen, Vy & Paddrik, Mark & Young, H. Peyton, 2023. "Anatomy of the Repo Rate Spikes in September 2019," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 5(4), pages 1-25, July.
- David Skovmand & Jacob Bjerre Skov, 2022. "Decomposing LIBOR in Transition: Evidence from the Futures Markets," Papers 2201.06930, arXiv.org, revised Mar 2022.
- Benoit Nguyen & Davide Tomio & Miklos Vari, 2023. "Safe Asset Scarcity and Monetary Policy Transmission," Working papers 934, Banque de France.
- John Caramichael & Gordon Y. Liao, 2022. "Stablecoins: Growth Potential and Impact on Banking," International Finance Discussion Papers 1334, Board of Governors of the Federal Reserve System (U.S.).
- Berndt, Antje & Duffie, Darrell & Zhu, Yichao, 2020.
"Across-the-Curve Credit Spread Indices,"
Research Papers
3884, Stanford University, Graduate School of Business.
Cited by:
- Cooperman, Harry & Duffie, Darrell & Luck, Stephan & Wang, Zachry & Yang, Yilin (David), 2022.
"Bank Funding Risk, Reference Rates, and Credit Supply,"
Research Papers
4066, Stanford University, Graduate School of Business.
- Darrell Duffie & Cooperman Harry & Stephan Luck & Zachry Wang & Yilin Yang, 2022. "Bank Funding Risk, Reference Rates, and Credit Supply," Staff Reports 1042, Federal Reserve Bank of New York.
- Harry R. Cooperman & Darrell Duffie & Stephan Luck & Zachry Z. Wang & Yilin Yang, 2023. "Bank Funding Risk, Reference Rates, and Credit Supply," NBER Working Papers 30907, National Bureau of Economic Research, Inc.
- Klingler, Sven & Syrstad, Olav, 2021. "Life after LIBOR," Journal of Financial Economics, Elsevier, vol. 141(2), pages 783-801.
- Saroyan, Susanna, 2022. "Counterparty choice, maturity shifts and market freezes: lessons from the e-MID interbank market," INET Oxford Working Papers 2022-28, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Urban Jermann, 2024.
"Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 65(2), pages 141-152, June.
- Urban Jermann, 2021. "Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans," NBER Working Papers 29614, National Bureau of Economic Research, Inc.
- Claudio Fontana, 2022. "Caplet pricing in affine models for alternative risk-free rates," Papers 2202.09116, arXiv.org, revised Jan 2023.
- Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
- David Skovmand & Jacob Bjerre Skov, 2022. "Decomposing LIBOR in Transition: Evidence from the Futures Markets," Papers 2201.06930, arXiv.org, revised Mar 2022.
- Karol Gellert & Erik Schlogl, 2021.
"Short Rate Dynamics: A Fed Funds and SOFR perspective,"
Papers
2101.04308, arXiv.org.
- Karol Gellert & Erik Schlogl, 2021. "Short Rate Dynamics: A Fed Funds and SOFR Perspective," Research Paper Series 420, Quantitative Finance Research Centre, University of Technology, Sydney.
- Cooperman, Harry & Duffie, Darrell & Luck, Stephan & Wang, Zachry & Yang, Yilin (David), 2022.
"Bank Funding Risk, Reference Rates, and Credit Supply,"
Research Papers
4066, Stanford University, Graduate School of Business.
- Chen, Daniel & Duffie, Darrell, 2020.
"Market Fragmentation,"
Research Papers
3854, Stanford University, Graduate School of Business.
Cited by:
- Cécile Bastidon & Fredj Jawadi, 2024.
"Trade fragmentation and volatility-of-volatility networks,"
Post-Print
hal-04478721, HAL.
- Bastidon, Cécile & Jawadi, Fredj, 2024. "Trade fragmentation and volatility-of-volatility networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Babus, Ana & Hachem, Kinda, 2021.
"Regulation and Security Design in Concentrated Markets,"
CEPR Discussion Papers
15861, C.E.P.R. Discussion Papers.
- Ana Babus & Kinda Cheryl Hachem, 2021. "Regulation and Security Design in Concentrated Markets," NBER Working Papers 28764, National Bureau of Economic Research, Inc.
- Babus, Ana & Hachem, Kinda, 2021. "Regulation and security design in concentrated markets," Journal of Monetary Economics, Elsevier, vol. 121(C), pages 139-151.
- Cécile Bastidon & Fredj Jawadi, 2024.
"Trade fragmentation and volatility-of-volatility networks,"
Post-Print
hal-04478721, HAL.
- Duffie, Darrell, 2020.
"Interoperable Payment Systems and the Role of Central Bank Digital Currencies,"
Research Papers
3867, Stanford University, Graduate School of Business.
Cited by:
- Sebastian Infante & Kyungmin Kim & Anna Orlik & André F. Silva & Robert J. Tetlow, 2022. "The Macroeconomic Implications of CBDC: A Review of the Literature," Finance and Economics Discussion Series 2022-076, Board of Governors of the Federal Reserve System (U.S.).
- Daniel Chen & Darrell Duffie, 2020.
"Market Fragmentation,"
NBER Working Papers
26828, National Bureau of Economic Research, Inc.
Cited by:
- Cécile Bastidon & Fredj Jawadi, 2024.
"Trade fragmentation and volatility-of-volatility networks,"
Post-Print
hal-04478721, HAL.
- Bastidon, Cécile & Jawadi, Fredj, 2024. "Trade fragmentation and volatility-of-volatility networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Babus, Ana & Hachem, Kinda, 2021.
"Regulation and Security Design in Concentrated Markets,"
CEPR Discussion Papers
15861, C.E.P.R. Discussion Papers.
- Ana Babus & Kinda Cheryl Hachem, 2021. "Regulation and Security Design in Concentrated Markets," NBER Working Papers 28764, National Bureau of Economic Research, Inc.
- Babus, Ana & Hachem, Kinda, 2021. "Regulation and security design in concentrated markets," Journal of Monetary Economics, Elsevier, vol. 121(C), pages 139-151.
- Cécile Bastidon & Fredj Jawadi, 2024.
"Trade fragmentation and volatility-of-volatility networks,"
Post-Print
hal-04478721, HAL.
- Duffie, Darrell & Dworczak, Piotr, 2018.
"Robust Benchmark Design,"
Research Papers
3175, Stanford University, Graduate School of Business.
- Duffie, Darrell & Dworczak, Piotr, 2021. "Robust benchmark design," Journal of Financial Economics, Elsevier, vol. 142(2), pages 775-802.
- Darrell Duffie & Piotr Dworczak, 2014. "Robust Benchmark Design," NBER Working Papers 20540, National Bureau of Economic Research, Inc.
Cited by:
- Kirti, Divya, 2022.
"What are reference rates for?,"
Journal of Banking & Finance, Elsevier, vol. 144(C).
- Mr. Divya Kirti, 2017. "What Are Reference Rates For?," IMF Working Papers 2017/013, International Monetary Fund.
- Ahmed Baig & Drew B. Winters, 2022. "The search for a new reference rate," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 939-976, April.
- Li, Ming & Sun, Hang & Zong, Jichuan, 2021. "Intertemporal imitation behavior of interbank offered rate submissions," Journal of Banking & Finance, Elsevier, vol. 132(C).
- Olkhov, Victor, 2021.
"Three Remarks On Asset Pricing,"
MPRA Paper
109238, University Library of Munich, Germany.
- Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 107938, University Library of Munich, Germany.
- Victor Olkhov, 2021. "Three Remarks On Asset Pricing," Papers 2105.13903, arXiv.org, revised Jan 2024.
- Duffie, Darrell & Dworczak, Piotr, 2021.
"Robust benchmark design,"
Journal of Financial Economics, Elsevier, vol. 142(2), pages 775-802.
- Duffie, Darrell & Dworczak, Piotr, 2018. "Robust Benchmark Design," Research Papers 3175, Stanford University, Graduate School of Business.
- Darrell Duffie & Piotr Dworczak, 2014. "Robust Benchmark Design," NBER Working Papers 20540, National Bureau of Economic Research, Inc.
- Frei, Christoph & Mitra, Joshua, 2021. "Optimal closing benchmarks," Finance Research Letters, Elsevier, vol. 40(C).
- Benenchia, Matteo & Galati, Luca & Lepone, Andrew, 2024. "To fix or not to fix: The representativeness of the WM/R methodology that underpins the FX benchmark rates. A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
- Olkhov, Victor, 2023.
"The Market-Based Probability of Stock Returns,"
MPRA Paper
116234, University Library of Munich, Germany.
- Victor Olkhov, 2023. "Market-Based Probability of Stock Returns," Papers 2302.07935, arXiv.org, revised Feb 2024.
- Darrell Duffie & Jeremy C. Stein, 2015. "Reforming LIBOR and Other Financial Market Benchmarks," Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 191-212, Spring.
- Budish, Eric B. & Lee, Robin S. & Shim, John J., 2020.
"A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?,"
Working Papers
301, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Eric Budish & Robin S. Lee & John J. Shim, 2019. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," NBER Working Papers 25855, National Bureau of Economic Research, Inc.
- Eric Budish & Robin S. Lee & John J. Shim, 2024. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," Journal of Political Economy, University of Chicago Press, vol. 132(4), pages 1209-1246.
- Alex Frankel & Navin Kartik, 2019.
"Improving Information from Manipulable Data,"
Papers
1908.10330, arXiv.org, revised Feb 2021.
- Alex Frankel & Navin Kartik, 2022. "Improving Information from Manipulable Data," Journal of the European Economic Association, European Economic Association, vol. 20(1), pages 79-115.
- Victor Olkhov, 2022.
"Market-Based Asset Price Probability,"
Papers
2205.07256, arXiv.org, revised Feb 2024.
- Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
- Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
- Ichiro Muto, 2012.
"A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate,"
Bank of Japan Working Paper Series
12-E-10, Bank of Japan.
- Muto, Ichiro, 2017. "The role of the reference rate in an interbank market with imperfect information," Global Finance Journal, Elsevier, vol. 34(C), pages 16-31.
- Muto, Ichiro, 2012. "A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate," MPRA Paper 43220, University Library of Munich, Germany.
- Antje Berndt & Darrell Duffie & Yichao Zhu, 2023. "Across‐the‐Curve Credit Spread Indices," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 32(3), pages 115-130, August.
- Zhang, Anthony Lee, 2022. "Competition and manipulation in derivative contract markets," Journal of Financial Economics, Elsevier, vol. 144(2), pages 396-413.
- Markus Baldauf & Christoph Frei & Joshua Mollner, 2022. "Principal Trading Arrangements: When Are Common Contracts Optimal?," Management Science, INFORMS, vol. 68(4), pages 3112-3128, April.
- Olkhov, Victor, 2021.
"Theoretical Economics and the Second-Order Economic Theory. What is it?,"
MPRA Paper
110893, University Library of Munich, Germany.
- Victor Olkhov, 2021. "Theoretical Economics and the Second-Order Economic Theory. What is it?," Papers 2112.04566, arXiv.org, revised Mar 2024.
- Chen, Jiakai, 2021. "LIBOR's poker," Journal of Financial Markets, Elsevier, vol. 55(C).
- Aquilina, Matteo & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2022. "The visible hand: benchmarks, regulation, and liquidity," Journal of Financial Markets, Elsevier, vol. 61(C).
- Brian Coulter & Joel Shapiro & Peter Zimmerman, 2018. "A Mechanism for LIBOR [Optimal selling strategies under uncertainty for a discriminating monopolist when demands are interdependent]," Review of Finance, European Finance Association, vol. 22(2), pages 491-520.
- Chukwudi Henry Dike, 2020. "Strategic Interactions in Financial Networks," 2020 Papers pdi579, Job Market Papers.
- Gong, Aibo & Ke, Shaowei & Qiu, Yawen & Shen, Rui, 2022. "Robust pricing under strategic trading," Journal of Economic Theory, Elsevier, vol. 199(C).
- Duffie, Darrell & Antill, Samuel, 2018.
"Augmenting Markets with Mechanisms,"
Research Papers
3623, Stanford University, Graduate School of Business.
Cited by:
- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019.
"OTC discount,"
Discussion Papers
42/2019, Deutsche Bundesbank.
- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
- Daniel Chen & Darrell Duffie, 2020. "Market Fragmentation," NBER Working Papers 26828, National Bureau of Economic Research, Inc.
- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019.
"OTC discount,"
Discussion Papers
42/2019, Deutsche Bundesbank.
- Duffie, Darrell & Andersen, Leif & Song, Yang, 2018.
"Funding Value Adjustments,"
Research Papers
3571, Stanford University, Graduate School of Business.
Cited by:
- Gino Cenedese & Angelo Ranaldo & Michalis Vasios, 2018.
"OTC Premia,"
Working Papers on Finance
1818, University of St. Gallen, School of Finance, revised May 2019.
- Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2020. "OTC premia," Journal of Financial Economics, Elsevier, vol. 136(1), pages 86-105.
- Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2018. "OTC premia," Bank of England working papers 751, Bank of England.
- Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
- Fontana, Silvia Dalla & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019.
"The anatomy of the euro area interest rate swap market,"
SAFE Working Paper Series
255, Leibniz Institute for Financial Research SAFE.
- Dalla Fontana, Silvia & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," Working Paper Series 2242, European Central Bank.
- Gino Cenedese & Angelo Ranaldo & Michalis Vasios, 2018.
"OTC Premia,"
Working Papers on Finance
1818, University of St. Gallen, School of Finance, revised May 2019.
- Duffie, Darrell, 2018.
"Compression Auctions With an Application to LIBOR-SOFR Swap Conversion,"
Research Papers
3727, Stanford University, Graduate School of Business.
Cited by:
- Klingler, Sven & Syrstad, Olav, 2021. "Life after LIBOR," Journal of Financial Economics, Elsevier, vol. 141(2), pages 783-801.
- Marc Pierre Henrard, 2019. "LIBOR Fallback and Quantitative Finance," Risks, MDPI, vol. 7(3), pages 1-15, August.
- Luitgard Anna Maria Veraart, 2022. "When does portfolio compression reduce systemic risk?," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 727-778, July.
- Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017.
"Corporate Credit Risk Premia,"
Research Papers
repec:ecl:stabus:3617, Stanford University, Graduate School of Business.
- Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia," NBER Working Papers 24213, National Bureau of Economic Research, Inc.
Cited by:
- Corvino, Raffaele & Fusai, Gianluca, 2022. "Default risk premium and asset prices," Journal of Financial Stability, Elsevier, vol. 60(C).
- Connolly, Robert & Dubofsky, David & Stivers, Chris, 2018. "Macroeconomic uncertainty and the distant forward-rate slope," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 140-161.
- Andrew Atkeson & Adrien D'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018.
"Government Guarantees and the Valuation of American Banks,"
Staff Report
567, Federal Reserve Bank of Minneapolis.
- Andrew G. Atkeson & Adrien d'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," NBER Chapters, in: NBER Macroeconomics Annual 2018, volume 33, pages 81-145, National Bureau of Economic Research, Inc.
- Andrew Atkeson & Adrien d'Avernas & Andrea Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," 2018 Meeting Papers 847, Society for Economic Dynamics.
- Andrew G. Atkeson & Adrien d'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," NBER Working Papers 24706, National Bureau of Economic Research, Inc.
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"A multilevel factor approach for the analysis of CDS commonality and risk contribution,"
CREATES Research Papers
2018-33, Department of Economics and Business Economics, Aarhus University.
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"Stress Relief?: Funding Structures and Resilience to the Covid Shock,"
NBER Working Papers
31255, National Bureau of Economic Research, Inc.
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"Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads,"
CEPR Discussion Papers
12857, C.E.P.R. Discussion Papers.
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"Non-performing loans and sovereign credit ratings,"
Working Paper series
19-13, Rimini Centre for Economic Analysis.
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"Credit risk and the transmission of interest rate shocks,"
Journal of Monetary Economics, Elsevier, vol. 130(C), pages 120-136.
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"Funding Value Adjustments,"
NBER Working Papers
23680, National Bureau of Economic Research, Inc.
Cited by:
- Darrell Duffie, 2018. "Financial Regulatory Reform After the Crisis: An Assessment," Management Science, INFORMS, vol. 64(10), pages 4835-4857, October.
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"Safe Haven CDS Premiums,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1856-1895.
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"A consistent stochastic model of the term structure of interest rates for multiple tenors,"
Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
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- Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
- Hovik Tumasyan, 2018. "A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral," Papers 1806.09198, arXiv.org, revised Dec 2018.
- Duffie, Darrell & Antill, Samuel, 2017.
"Augmenting Markets with Mechanisms,"
Research Papers
repec:ecl:stabus:3623, Stanford University, Graduate School of Business.
- Samuel Antill & Darrell Duffie, 2017. "Augmenting Markets with Mechanisms," NBER Working Papers 24146, National Bureau of Economic Research, Inc.
Cited by:
- Bernales, Alejandro & Ladley, Daniel & Litos, Evangelos & Valenzuela, Marcela, 2021. "Dark trading and alternative execution priority rules," LSE Research Online Documents on Economics 118866, London School of Economics and Political Science, LSE Library.
- Duffie, Darrell & Qiao, Lei & Sun, Yeneng, 2017.
"Dynamic Directed Random Matching,"
Research Papers
repec:ecl:stabus:3359, Stanford University, Graduate School of Business.
- Duffie, Darrell & Qiao, Lei & Sun, Yeneng, 2018. "Dynamic directed random matching," Journal of Economic Theory, Elsevier, vol. 174(C), pages 124-183.
- Darrell Duffie & Lei Qiao & Yeneng Sun, 2015. "Dynamic Directed Random Matching," NBER Working Papers 21731, National Bureau of Economic Research, Inc.
Cited by:
- Anderson, Robert M. & Duanmu, Haosui & Ghosh, Aniruddha & Khan, M. Ali, 2024.
"On existence of Berk-Nash equilibria in misspecified Markov decision processes with infinite spaces,"
Journal of Economic Theory, Elsevier, vol. 217(C).
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- Nicole Immorlica & Brendan Lucier & Vahideh Manshadi & Alexander Wei, 2023. "Designing Approximately Optimal Search on Matching Platforms," Management Science, INFORMS, vol. 69(8), pages 4609-4626, August.
- Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis & Katharina Oberpriller, 2023. "Supplement Liquidity based modeling of asset price bubbles via random matching," Papers 2311.15793, arXiv.org.
- Anderson, Robert M. & Duanmu, Haosui & Khan, M. Ali & Uyanik, Metin, 2022. "On abstract economies with an arbitrary set of players and action sets in locally-convex topological vector spaces," Journal of Mathematical Economics, Elsevier, vol. 98(C).
- Yash Kanoria & Daniela Saban, 2021. "Facilitating the Search for Partners on Matching Platforms," Management Science, INFORMS, vol. 67(10), pages 5990-6029, October.
- Hernandez Senosiain, Patricio, 2022. "Why Do Men Keep Swiping Right? Two-Sided Search in Swipe-Based Dating Platforms," Warwick-Monash Economics Student Papers 37, Warwick Monash Economics Student Papers.
- Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis & Katharina Oberpriller, 2022. "Liquidity based modeling of asset price bubbles via random matching," Papers 2210.13804, arXiv.org, revised Nov 2022.
- Duffie, Darrell & Zhu, Haoxiang, 2016.
"Size Discovery,"
Research Papers
3345, Stanford University, Graduate School of Business.
- Darrell Duffie & Haoxiang Zhu, 2017. "Size Discovery," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1095-1150.
- Darrell Duffie & Haoxiang Zhu, 2015. "Size Discovery," NBER Working Papers 21696, National Bureau of Economic Research, Inc.
Cited by:
- Wittwer, Milena, 2017. "Centralizing Disconnected Markets? An Irrelevance Result," MPRA Paper 76534, University Library of Munich, Germany.
- Haoxiang Zhu & Bart Yueshen & Albert Menkveld, 2015.
"Shades of Darkness: A Pecking Order of Trading Venues,"
2015 Meeting Papers
1164, Society for Economic Dynamics.
- Menkveld, Albert J. & Yueshen, Bart Zhou & Zhu, Haoxiang, 2017. "Shades of darkness: A pecking order of trading venues," Journal of Financial Economics, Elsevier, vol. 124(3), pages 503-534.
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"Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act,"
Bank of England working papers
580, Bank of England.
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- Duffie, Darrell, 2016.
"Financial Regulatory Reform after the Crisis: An Assessment,"
Research Papers
3440, Stanford University, Graduate School of Business.
Cited by:
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"Collateral cycles,"
Bank of England working papers
966, Bank of England, revised 24 Oct 2022.
- Evangelos Benos & Gerardo Ferrara & Angelo Ranaldo, 2022. "Collateral Cycles," Swiss Finance Institute Research Paper Series 22-91, Swiss Finance Institute.
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"Repo market functioning: The role of capital regulation,"
CEPR Discussion Papers
13090, C.E.P.R. Discussion Papers.
- Van Horen, Neeltje & Kotidis, Antonis, 2018. "Repo market functioning: the role of capital regulation," Bank of England working papers 746, Bank of England.
- Claessens, Stijn, 2017. "Regulation and structural change in financial systems," CEPR Discussion Papers 11822, C.E.P.R. Discussion Papers.
- Ibrocevic, Edin & Thiemann, Matthias, 2018. "All economic ideas are equal, but some are more equal than others: A differentiated perspective on macroprudential ideas and their implementation," SAFE Working Paper Series 214, Leibniz Institute for Financial Research SAFE.
- Frédéric CHERBONNIER & Ulrich HEGE, 2020. "Risques climatiques et règlementation financière prudentielle," Working Paper b08f5c14-94fc-4ccc-b857-6, Agence française de développement.
- Breckenfelder, Johannes & Ivashina, Victoria, 2021. "Bank balance sheet constraints and bond liquidity," Working Paper Series 2589, European Central Bank.
- Filipe Moreira Alves & Rui Santos & Gil Penha-Lopes, 2022. "Revisiting the Missing Link: An Ecological Theory of Money for a Regenerative Economy," Sustainability, MDPI, vol. 14(7), pages 1-18, April.
- Hałaj, Grzegorz & Peltonen, Tuomas A. & Scheicher, Martin, 2018. "How did the Greek credit event impact the credit default swap market?," Journal of Financial Stability, Elsevier, vol. 35(C), pages 136-158.
- Noss, Joseph & Patel, Rupal, 2019. "Decomposing changes in the functioning of the sterling repo market," Bank of England working papers 797, Bank of England.
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"Regulatory effects on short-term interest rates,"
Bank of England working papers
801, Bank of England.
- Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2021. "Regulatory effects on short-term interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 750-770.
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- Meraj Allahrakha & Benjamin Munyan, 2016.
"Do Higher Capital Standards Always Reduce Bank Risk? The Impact of the Basel Leverage Ratio on the U.S. Triparty Repo Market,"
Working Papers
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- Antonio Falato & Diana A. Iercosan & Filip Zikes, 2019. "Banks as Regulated Traders," Finance and Economics Discussion Series 2019-005r1, Board of Governors of the Federal Reserve System (U.S.), revised 04 Aug 2021.
- Ghamami, Samim & Glasserman, Paul, 2017. "Does OTC derivatives reform incentivize central clearing?," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 76-87.
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- D'Errico, Marco & Roukny, Tarik, 2017. "Compressing over-the-counter markets," ESRB Working Paper Series 44, European Systemic Risk Board.
- Benos, Evangelos & Ferrara, Gerardo & Ranaldo, Angelo, 2022.
"Collateral cycles,"
Bank of England working papers
966, Bank of England, revised 24 Oct 2022.
- Duffie, Darrell, 2014.
"Resolution of Failing Central Counterparties,"
Research Papers
3256, Stanford University, Graduate School of Business.
Cited by:
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"Systemic risk in clearing houses: Evidence from the European repo market,"
ESRB Working Paper Series
10, European Systemic Risk Board.
- Thesmar, David & Ors, Evren & Derrien, Francois & Boissel, Charles, 2015. "Systemic Risk in Clearing Houses: Evidence from the European Repo Market," HEC Research Papers Series 1112, HEC Paris.
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- Heath, Alexandra & Kelly, Gerard & Manning, Mark & Markose, Sheri & Shaghaghi, Ali Rais, 2016. "CCPs and network stability in OTC derivatives markets," Journal of Financial Stability, Elsevier, vol. 27(C), pages 217-233.
- Bolton, Patrick & Oehmke, Martin, 2018. "Bank resolution and the structure of global banks," LSE Research Online Documents on Economics 118937, London School of Economics and Political Science, LSE Library.
- Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
- Veraart, Luitgard A. M. & Aldasoro, Iñaki, 2024.
"Systemic risk in markets with multiple central counterparties,"
LSE Research Online Documents on Economics
124535, London School of Economics and Political Science, LSE Library.
- Inaki Aldasoro & Luitgard A M Veraart, 2022. "Systemic Risk in Markets with Multiple Central Counterparties," BIS Working Papers 1052, Bank for International Settlements.
- Patrick Bolton & Martin Oehmke, 2019. "Bank Resolution and the Structure of Global Banks," The Review of Financial Studies, Society for Financial Studies, vol. 32(6), pages 2384-2421.
- Mariño-Martínez, Ricardo & León, Carlos & Cadena-Silva, Carlos, 2020.
"Las entidades de contrapartida central en la mitigación del riesgo de contraparte y de liquidez: El caso de los derivados cambiarios en Colombia,"
Working papers
33, Red Investigadores de Economía.
- Ricardo Mariño-Martínez & Carlos León & Carlos Cadena-Silva, 2020. "Las entidades de contrapartida central en la mitigación del riesgo de contraparte y de liquidez: El caso de los derivados cambiarios en Colombia," Borradores de Economia 1101, Banco de la Republica de Colombia.
- Bolton, Patrick & Oehmke, Martin, 2019. "Bank resolution and the structure of global banks," LSE Research Online Documents on Economics 90056, London School of Economics and Political Science, LSE Library.
- Julliard, Christian & Pinter, Gabor & Todorov, Karamfil & Yuan, Kathy, 2022.
"What drives repo haircuts? Evidence from the UK market,"
Bank of England working papers
985, Bank of England.
- Christian Julliard & Gabor Pinter & Karamfil Todorov & Kathy Yuan, 2022. "What drives repo haircuts? Evidence from the UK market," BIS Working Papers 1027, Bank for International Settlements.
- Agostino Capponi & W. Allen Cheng & Sriram Rajan, 2015. "Systemic Risk: The Dynamics under Central Clearing," Working Papers 15-08, Office of Financial Research, US Department of the Treasury.
- Bolton, Patrick & Oehmke, Martin, 2018. "Bank Resolution and the Structure of Global Banks," CEPR Discussion Papers 13032, C.E.P.R. Discussion Papers.
- Dermot Turing & Mr. Manmohan Singh, 2018. "The Morning After--The Impact on Collateral Supply After a Major Default," IMF Working Papers 2018/228, International Monetary Fund.
- Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.
- Boissel, Charles & Derrien, François & Örs, Evren & Thesmar, David, 2016.
"Systemic risk in clearing houses: Evidence from the European repo market,"
ESRB Working Paper Series
10, European Systemic Risk Board.
- Duffie, Darrell & Dworczak, Piotr & Zhu, Haoxiang, 2014.
"Benchmarks in Search Markets,"
Research Papers
3190, Stanford University, Graduate School of Business.
- Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2017. "Benchmarks in Search Markets," Journal of Finance, American Finance Association, vol. 72(5), pages 1983-2044, October.
- Piotr Dworczak & Haoxiang Zhu & Darrell Duffie, 2015. "Benchmarks in Search Markets," 2015 Meeting Papers 51, Society for Economic Dynamics.
- Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2014. "Benchmarks in Search Markets," NBER Working Papers 20620, National Bureau of Economic Research, Inc.
Cited by:
- Kirti, Divya, 2022.
"What are reference rates for?,"
Journal of Banking & Finance, Elsevier, vol. 144(C).
- Mr. Divya Kirti, 2017. "What Are Reference Rates For?," IMF Working Papers 2017/013, International Monetary Fund.
- Marco Di Maggio & Marco Pagano, 2012.
"Financial Disclosure and Market Transparency with Costly Information Processing,"
EIEF Working Papers Series
1212, Einaudi Institute for Economics and Finance (EIEF), revised May 2014.
- Marco Di Maggio & Marco Pagano, 2018. "Financial Disclosure and Market Transparency with Costly Information Processing [Bargaining with incomplete information]," Review of Finance, European Finance Association, vol. 22(1), pages 117-153.
- Di Maggio, Marco & Pagano, Marco, 2014. "Financial disclosure and market transparency with costly information processing," CFS Working Paper Series 485, Center for Financial Studies (CFS).
- Pagano, Marco & Di Maggio, Marco, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CEPR Discussion Papers 9207, C.E.P.R. Discussion Papers.
- Marco di Maggio & Marco Pagano, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CSEF Working Papers 323, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 23 Jul 2016.
- Darrell Duffie, 2018. "Financial Regulatory Reform After the Crisis: An Assessment," Management Science, INFORMS, vol. 64(10), pages 4835-4857, October.
- Cereda, Fábio & Chague, Fernando & De-Losso, Rodrigo & Genaro, Alan & Giovannetti, Bruno, 2022.
"Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark,"
Journal of Financial Economics, Elsevier, vol. 143(1), pages 569-592.
- Fabio Cereda & Fernando Chague & Rodrigo De Losso & Alan De Genaro & Bruno Giovannetti, 2020. "Price Transparency in OTC Equity Lending Markets: Evidence from a Loan Fee Benchmark," Working Papers, Department of Economics 2020_22, University of São Paulo (FEA-USP).
- Ahmed Baig & Drew B. Winters, 2022. "The search for a new reference rate," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 939-976, April.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2017.
"Discriminatory Pricing of Over-the-Counter Derivatives,"
Swiss Finance Institute Research Paper Series
17-70, Swiss Finance Institute.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory pricing of over-the-counter derivatives," ESRB Working Paper Series 61, European Systemic Risk Board.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021. "Discriminatory Pricing of Over-the-Counter Derivatives," Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
- Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019. "Discriminatory Pricing of Over-the-Counter Derivatives," IMF Working Papers 2019/100, International Monetary Fund.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory Pricing of Over-The-Counter Derivatives," CEPR Discussion Papers 12525, C.E.P.R. Discussion Papers.
- Dirk Bergemann & Stephen Morris, 2017.
"Information Design: A Unified Perspective,"
Cowles Foundation Discussion Papers
2075R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2017.
- Dirk Bergemann & Stephen Morris, 2017. "Information Design: A Unified Perspective," Cowles Foundation Discussion Papers 2075, Cowles Foundation for Research in Economics, Yale University.
- Dirk Bergemann & Stephen Morris, 2017. "Information Design: A Unified Perspective," Cowles Foundation Discussion Papers 2075R3, Cowles Foundation for Research in Economics, Yale University, revised Mar 2018.
- Bergemann, Dirk & Morris, Stephen, 2017. "Information Design: A Unified Perspective," CEPR Discussion Papers 11867, C.E.P.R. Discussion Papers.
- Dirk Bergemann & Stephen Morris, 2017. "Information Design: A Unified Perspective," Working Papers 089_2017, Princeton University, Department of Economics, Econometric Research Program..
- Dirk Bergemann & Stephen Morris, 2019. "Information Design: A Unified Perspective," Journal of Economic Literature, American Economic Association, vol. 57(1), pages 44-95, March.
- Dirk Bergemann & Stephen Morris, 2017. "Information Design: A Unified Perspective," Cowles Foundation Discussion Papers 2075R2, Cowles Foundation for Research in Economics, Yale University, revised Nov 2017.
- Vladimir Asriyan & William Fuchs & Brett Green, 2015.
"Information spillovers in asset markets with correlated values,"
Economics Working Papers
1482, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2016.
- Vladimir Asriyan, 2015. "Information Spillovers in Asset Markets with Correlated Values," 2015 Meeting Papers 711, Society for Economic Dynamics.
- Vladimir Asriyan & William Fuchs & Brett Green, 2016. "Information Spillovers in Asset Markets with Correlated Values," Working Papers 827, Barcelona School of Economics.
- Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Information Spillovers in Asset Markets with Correlated Values," American Economic Review, American Economic Association, vol. 107(7), pages 2007-2040, July.
- guido menzio & Gregor Jarosch & Maryam Farboodi, 2016. "Tough Middlemen," 2016 Meeting Papers 1371, Society for Economic Dynamics.
- Vladimir Asriyan & William Fuchs & Brett Green, 2017.
"Aggregation and Design of Information in Asset Markets with Adverse Selection,"
Working Papers
979, Barcelona School of Economics.
- Asriyan, Vladimir & Fuchs, William & Green, Brett, 2021. "Aggregation and design of information in asset markets with adverse selection," Journal of Economic Theory, Elsevier, vol. 191(C).
- Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Aggregation and design of information in asset markets with adverse selection," Economics Working Papers 1573, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2019.
- Duffie, Darrell & Dworczak, Piotr, 2021.
"Robust benchmark design,"
Journal of Financial Economics, Elsevier, vol. 142(2), pages 775-802.
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"Lighting up the dark: Liquidity in the German corporate bond market,"
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"Contagion Management through Information Disclosure,"
Discussion Papers Series
651, School of Economics, University of Queensland, Australia.
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"Rules and Commitment in Communication: An Experimental Analysis,"
Econometrica, Econometric Society, vol. 90(5), pages 2283-2318, September.
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"Non-reservation price equilibria and Consumer search,"
HSE Working papers
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"The Emergence of Market Structure,"
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"The search theory of OTC markets,"
CEPR Discussion Papers
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"Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs,"
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Cited by:
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"Optimal Financial Transaction Taxes,"
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"Belief-weighted Nash aggregation of Savage preferences,"
Cahiers de recherche
2018-15, Universite de Montreal, Departement de sciences economiques.
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- Yves SPRUMONT, 2018. "Belief-weighted Nash Aggregation of Savage Preferences," Cahiers de recherche 21-2018, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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"Bubbles and the value of innovation,"
Journal of Financial Economics, Elsevier, vol. 145(1), pages 69-84.
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"Regulation of trades based on differences in beliefs,"
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"Bayesian social aggregation with accumulating evidence,"
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"A Case for Incomplete Markets,"
Economics Series
313, Institute for Advanced Studies.
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"Financial Market Infrastructure: Too Important to Fail,"
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"Where the Risks Lie: A Survey on Systemic Risk,"
HEC Research Papers Series
1088, HEC Paris.
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- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers halshs-01142014, HAL.
- Duffie, Darrell & Stein, Jeremy C., 2014.
"Reforming LIBOR and Other Financial-Market Benchmarks,"
Research Papers
3170, Stanford University, Graduate School of Business.
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"Credit and liquidity in interbank rates: A quadratic approach,"
Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
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- Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2014.
"Benchmarks in Search Markets,"
NBER Working Papers
20620, National Bureau of Economic Research, Inc.
- Piotr Dworczak & Haoxiang Zhu & Darrell Duffie, 2015. "Benchmarks in Search Markets," 2015 Meeting Papers 51, Society for Economic Dynamics.
- Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2017. "Benchmarks in Search Markets," Journal of Finance, American Finance Association, vol. 72(5), pages 1983-2044, October.
- Duffie, Darrell & Dworczak, Piotr & Zhu, Haoxiang, 2014. "Benchmarks in Search Markets," Research Papers 3190, Stanford University, Graduate School of Business.
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- Thomas B. King & Kurt F. Lewis, 2014. "What Drives Bank Funding Spreads?," Working Paper Series WP-2014-23, Federal Reserve Bank of Chicago.
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"Central clearing and collateral demand,"
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- Darrell Duffie & Martin Schneicher & Guillaume Vuillemey, 2014. "Central Clearing and Collateral Demand," Economics Working Papers 14104, Hoover Institution, Stanford University.
- Darrell Duffie & Martin Scheicher & Guillaume Vuillemey, 2014. "Central Clearing and Collateral Demand," NBER Working Papers 19890, National Bureau of Economic Research, Inc.
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"Simulating liquidity stress in the derivatives market,"
Bank of England working papers
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"Systemic risk in clearing houses: Evidence from the European repo market,"
ESRB Working Paper Series
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- Thesmar, David & Ors, Evren & Derrien, Francois & Boissel, Charles, 2015. "Systemic Risk in Clearing Houses: Evidence from the European Repo Market," HEC Research Papers Series 1112, HEC Paris.
- Boissel, Charles & Derrien, François & Ors, Evren & Thesmar, David, 2017. "Systemic risk in clearing houses: Evidence from the European repo market," Journal of Financial Economics, Elsevier, vol. 125(3), pages 511-536.
- Ana Babus & Cecilia Parlatore, 2021.
"Strategic Fragmented Markets,"
NBER Working Papers
28729, National Bureau of Economic Research, Inc.
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- Babus, Ana & Parlatore, Cecilia, 2022. "Strategic fragmented markets," Journal of Financial Economics, Elsevier, vol. 145(3), pages 876-908.
- Babus, Ana & Parlatore Siritto, Cecilia, 2016. "Strategic Fragmented Markets," CEPR Discussion Papers 11591, C.E.P.R. Discussion Papers.
- Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
- Heath, Alexandra & Kelly, Gerard & Manning, Mark & Markose, Sheri & Shaghaghi, Ali Rais, 2016. "CCPs and network stability in OTC derivatives markets," Journal of Financial Stability, Elsevier, vol. 27(C), pages 217-233.
- Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
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"On the market structure of central counterparties in the EU,"
PSE Working Papers
halshs-03107812, HAL.
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- Gregor Helmut Schoenemann, 2022. "The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 446-471, March.
- Gary Gorton & Toomas Laarits & Tyler Muir, 2022. "Mobile Collateral versus Immobile Collateral," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(6), pages 1673-1703, September.
- Vuillemey, Guillaume, 2023. "Mitigating fire sales with a central clearing counterparty," Journal of Financial Intermediation, Elsevier, vol. 55(C).
- Darrell Duffie, 2018. "Financial Regulatory Reform After the Crisis: An Assessment," Management Science, INFORMS, vol. 64(10), pages 4835-4857, October.
- Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2020.
"Effective risk aversion in thin risk‐sharing markets,"
Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1565-1590, October.
- Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2017. "Effective risk aversion in thin risk-sharing markets," Papers 1707.05096, arXiv.org, revised Jun 2018.
- Anthropelos, Michail & Kardaras, Constantinos & Vichos, Georgios, 2020. "Effective risk aversion in thin risk-sharing markets," LSE Research Online Documents on Economics 102275, London School of Economics and Political Science, LSE Library.
- Benos, Evangelos & Ferrara, Gerardo & Ranaldo, Angelo, 2022.
"Collateral cycles,"
Bank of England working papers
966, Bank of England, revised 24 Oct 2022.
- Evangelos Benos & Gerardo Ferrara & Angelo Ranaldo, 2022. "Collateral Cycles," Swiss Finance Institute Research Paper Series 22-91, Swiss Finance Institute.
- Amini, Hamed & Feinstein, Zachary, 2023. "Optimal network compression," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1439-1455.
- Czech, Robert, 2019.
"Credit default swaps and corporate bond trading,"
Bank of England working papers
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- Czech, Robert, 2021. "Credit default swaps and corporate bond trading," Journal of Financial Intermediation, Elsevier, vol. 48(C).
- Gino Cenedese & Angelo Ranaldo & Michalis Vasios, 2018.
"OTC Premia,"
Working Papers on Finance
1818, University of St. Gallen, School of Finance, revised May 2019.
- Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2020. "OTC premia," Journal of Financial Economics, Elsevier, vol. 136(1), pages 86-105.
- Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2018. "OTC premia," Bank of England working papers 751, Bank of England.
- Acharya, Viral V. & Gündüz, Yalin & Johnson, Tim, 2018.
"Bank use of sovereign CDS in the eurozone crisis: Hedging and risk incentives,"
Discussion Papers
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- Acharya, Viral & , & Johnson, Timothy, 2021. "Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives," CEPR Discussion Papers 16628, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Gündüz, Yalin & Johnson, Timothy C., 2022. "Bank use of sovereign CDS in the Eurozone crisis: Hedging and risk incentives," Journal of Financial Intermediation, Elsevier, vol. 50(C).
- González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).
- Paddrick, Mark & Young, H. Peyton, 2021. "How safe are central counterparties in credit default swap markets?," LSE Research Online Documents on Economics 101170, London School of Economics and Political Science, LSE Library.
- Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
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"Safe Haven CDS Premiums,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1856-1895.
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- Anne-Marie Rieu-Foucault, 2017. "Point sur la fourniture de liquidié publique," Working Papers hal-04141643, HAL.
- Bardoscia, Marco & Caccioli, Fabio & Gao, Haotian, 2022. "Efficiency of central clearing under liquidity stress," Bank of England working papers 1002, Bank of England.
- Leif Andersen & Darrell Duffie & Yang Song, 2017. "Funding Value Adjustments," NBER Working Papers 23680, National Bureau of Economic Research, Inc.
- Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
- H Peyton Young & Mark Paddrik, 2017.
"How Safe are Central Counterparties in Derivatives Markets?,"
Economics Series Working Papers
826, University of Oxford, Department of Economics.
- Mark Paddrik & H. Peyton Young, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Working Papers 17-06, Office of Financial Research, US Department of the Treasury.
- Mark Paddrik & Peyton Young, 2018. "How Safe are Central Counterparties in Derivatives Markets?," 2018 Meeting Papers 934, Society for Economic Dynamics.
- H Peyton Young & Mark Paddrik & Sriram Rajan, 2017.
"Contagion in Derivatives Markets,"
Economics Series Working Papers
839, University of Oxford, Department of Economics.
- H Peyton Young & Mark Paddrik & Sriram Rajan, 2019. "Contagion in Derivatives Markets," Economics Series Working Papers 886, University of Oxford, Department of Economics.
- Mark Paddrik & Sriram Rajan & H. Peyton Young, 2020. "Contagion in Derivatives Markets," Management Science, INFORMS, vol. 66(8), pages 3603-3616, August.
- Rod Garratt & Peter Zimmerman, 2015. "Does central clearing reduce counterparty risk in realistic financial networks?," Staff Reports 717, Federal Reserve Bank of New York.
- Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2018.
"The impact of central clearing on the market for single-name credit default swaps,"
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- Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2021. "The impact of central clearing on the market for single-name credit default swaps," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Wenqian Huang & Előd Takáts, 2020.
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- Wenqian Huang & Elöd Takáts, 2024. "Model Risk at Central Counterparties: Is Skin in the Game a Game Changer?," International Journal of Central Banking, International Journal of Central Banking, vol. 20(3), pages 161-184, July.
- Huang, Wenqian & Takáts, Előd, 2024. "Model risk at central counterparties: is skin in the game a game changer?," LSE Research Online Documents on Economics 124360, London School of Economics and Political Science, LSE Library.
- Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2024.
"Loss Sharing in Central Clearinghouses: Winners and Losers,"
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- Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021. "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series 066, University of Bonn and University of Cologne, Germany.
- Kubitza, Christian & Pelizzon, Loriana & Sherman, Mila Getmansky, 2023. "Loss sharing in central clearinghouses: winners and losers," Working Paper Series 2873, European Central Bank.
- Bellia, Mario & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas A., 2017.
"The demand for central clearing: to clear or not to clear, that is the question,"
ESRB Working Paper Series
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Journal of Financial Stability, Elsevier, vol. 13(C), pages 118-133.
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International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 231-283, March.
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"Variation margins, fire-sales and information-constrained optimality,"
Post-Print
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Corvinus Economics Working Papers (CEWP)
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"The economics of collateral,"
LSE Research Online Documents on Economics
59295, London School of Economics and Political Science, LSE Library.
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ESRB Working Paper Series
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CEPR Discussion Papers
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ESRB Working Paper Series
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"Collateral Unchained: Rehypothecation networks, concentration and systemic effects,"
LEM Papers Series
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- Duc Thi Luu & Mauro Napoletano & Paolo Barucca & Stefano Battiston, 2018. "Collateral Unchained : Rehypothecation networkd, concentration and systemic effects," Working Papers hal-03607817, HAL.
- Duc Thi Luu & Mauro Napoletano & Paolo Barucca & Stefano Battiston, 2018. "Collateral Unchained: Rehypothecation networks, concentration and systemic effects," Papers 1802.02127, arXiv.org.
- Duc Thi Luu & Mauro Napoletano & Paolo Barucca & Stefano Battiston, 2018. "Collateral Unchained: Rehypothecation Networks, Concentration and Systemic Effects," GREDEG Working Papers 2018-05, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
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INET Oxford Working Papers
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SAFE Working Paper Series
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- Maximilian Jager & Frederick Zadow, 2023. "Clear(ed) Decision: The Effect of Central Clearing on Firms Financing Decision," CRC TR 224 Discussion Paper Series crctr224_2023_445, University of Bonn and University of Mannheim, Germany.
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"Five Fundamental Questions on Central Counterparties,"
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SAFE Working Paper Series
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- Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2017. "Price discovery in equity and CDS markets," Journal of Financial Markets, Elsevier, vol. 35(C), pages 21-46.
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- Zhuo Zhong & Kei Kawakami, 2016. "The Risk Sharing BenefiÂ…t versus the Collateral Cost: The Formation of the Inter-Dealer Network in Over-the-Counter Trading," 2016 Meeting Papers 822, Society for Economic Dynamics.
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- Berlinger, Edina & Váradi, Kata & Dömötör, Barbara & Illés, Ferenc, 2016. "A tőzsdei elszámolóházak vesztesége [The loss from central clearing houses]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 993-1010.
- Mixon, Scott & Onur, Esen & Riggs, Lynn, 2018. "Integrating swaps and futures: A new direction for commodity research," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 3-21.
- Andrea Eisfeldt & Bernard Herskovic & Sriram Rajan & Emil Siriwardane, 2018. "OTC Intermediaries," Working Papers 18-05, Office of Financial Research, US Department of the Treasury.
- Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016. "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series 2016-087, Board of Governors of the Federal Reserve System (U.S.).
- Fuchun Li & Héctor Pérez Saiz, 2016. "Measuring Systemic Risk Across Financial Market Infrastructures," Staff Working Papers 16-10, Bank of Canada.
- Ravi Kashyap, 2019. "Concepts, Components and Collections of Trading Strategies and Market Color," Papers 1910.02144, arXiv.org, revised Jan 2020.
- Wu, Dexiang & Dash Wu, Desheng, 2019. "An enhanced decision support approach for learning and tracking derivative index," Omega, Elsevier, vol. 88(C), pages 63-76.
- Jin-Wook Chang, 2019. "Collateralized Debt Networks with Lender Default," Finance and Economics Discussion Series 2019-083, Board of Governors of the Federal Reserve System (U.S.).
- Mayordomo, Sergio & Posch, Peter N., 2016. "Does central clearing benefit risky dealers?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 91-100.
- Héctor Pérez Saiz & Gabriel Xerri, 2016. "Credit Risk and Collateral Demand in a Retail Payment System," Discussion Papers 16-16, Bank of Canada.
- Anne-Marie Rieu-Foucault, 2017. "Point sur la fourniture de liquidié publique," EconomiX Working Papers 2017-27, University of Paris Nanterre, EconomiX.
- Ruodu Wang & Johanna F. Ziegel, 2021. "Scenario-based risk evaluation," Finance and Stochastics, Springer, vol. 25(4), pages 725-756, October.
- Melinda Friesz & Kira Muratov-Szabó & Andrea Prepuk & Kata Váradi, 2021. "Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint," Risks, MDPI, vol. 9(8), pages 1-19, August.
- Evangelos Benos & Wenqian Huang & Albert Menkveld & Michalis Vasios, 2024.
"The Cost of Clearing Fragmentation,"
Management Science, INFORMS, vol. 70(6), pages 3581-3596, June.
- Evangelos Benos & Wenqian Huang & Albert Menkveld & Michalis Vasios, 2019. "The cost of clearing fragmentation," BIS Working Papers 826, Bank for International Settlements.
- Benos, Evangelos & Huang, Wenqian & Menkveld, Albert & Vasios, Michalis, 2019. "The cost of clearing fragmentation," Bank of England working papers 800, Bank of England, revised 22 Nov 2019.
- Samim Ghamami & Paul Glasserman, 2016. "Does OTC Derivatives Reform Incentivize Central Clearing?," Working Papers 16-07, Office of Financial Research, US Department of the Treasury.
- Kazuhiro Takino, 2022. "The impact of non-cash collateralization on the over-the-counter derivatives markets," Review of Derivatives Research, Springer, vol. 25(2), pages 137-171, July.
- Boudiaf, Ismael Alexander & Scheicher, Martin & Vacirca, Francesco, 2023. "CCP initial margin models in Europe," Occasional Paper Series 314, European Central Bank.
- Ghamami, Samim & Glasserman, Paul, 2017. "Does OTC derivatives reform incentivize central clearing?," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 76-87.
- Samim Ghamami & Paul Glasserman, 2019. "Submodular Risk Allocation," Management Science, INFORMS, vol. 65(10), pages 4656-4675, October.
- Edoardo Gaffeo & Mauro Gallegati & Lucio Gobbi, 2022. "Endogenous clearinghouse formation in payment networks," Review of Evolutionary Political Economy, Springer, vol. 3(1), pages 109-136, April.
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"Centralized netting in financial networks,"
University of California at Santa Barbara, Economics Working Paper Series
qt79t1q6cg, Department of Economics, UC Santa Barbara.
- Garratt, Rodney & Zimmerman, Peter, 2020. "Centralized netting in financial networks," Journal of Banking & Finance, Elsevier, vol. 112(C).
- Guillaume Vuillemey, 2019. "Bank Interest Rate Risk Management," Management Science, INFORMS, vol. 65(12), pages 5933-5956, December.
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- Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
- Ravi Kashyap, 2021. "Behavioral Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets," Papers 2109.03740, arXiv.org.
- Fiedor, Paweł, 2018. "Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets," ESRB Working Paper Series 72, European Systemic Risk Board.
- Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
- Guillaume Vuillemey, 2020. "The Value of Central Clearing," Journal of Finance, American Finance Association, vol. 75(4), pages 2021-2053, August.
- Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.
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Cited by:
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"Efficient Learning and Job Turnover in the Labor Market,"
PIER Working Paper Archive
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"Macro Aspects of Housing,"
Globalization Institute Working Papers
340, Federal Reserve Bank of Dallas.
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- Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," GRU Working Paper Series GRU_2018_016, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
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"Imitation in Heterogeneous Populations,"
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"Dynamic directed random matching,"
Journal of Economic Theory, Elsevier, vol. 174(C), pages 124-183.
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"Evolution leads to Kantian morality,"
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"Efficiency may Improve when Defectors Exist,"
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Documents de Travail de l'OFCE
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"Systemic Risk and Bank Size,"
ICMA Centre Discussion Papers in Finance
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- Dumas, Bernard & Buss, Adrian, 2013. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," CEPR Discussion Papers 9524, C.E.P.R. Discussion Papers.
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"Learning in crowded markets,"
Journal of Economic Theory, Elsevier, vol. 184(C).
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- Peter Kondor & Adam Zawadowski, 2018. "Learning in Crowded Markets," CEU Working Papers 2018_4, Department of Economics, Central European University.
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"The dynamics of financially constrained arbitrage,"
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- Darrell Duffie & Bruno Strulovici, 2012. "Capital Mobility and Asset Pricing," Econometrica, Econometric Society, vol. 80(6), pages 2469-2509, November.
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- Garrison Hongyu Song, 2022. "Capital Mobility vs. Labor Mobility:Theory and Implications," International Journal of Economics and Financial Issues, Econjournals, vol. 12(4), pages 47-55, July.
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"Information Percolation in Segmented Markets,"
Swiss Finance Institute Research Paper Series
10-09, Swiss Finance Institute.
- Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2014. "Information percolation in segmented markets," Journal of Economic Theory, Elsevier, vol. 153(C), pages 1-32.
- Darrell Duffie & Semyon Malamud & Gustavo Manso, 2011. "Information Percolation in Segmented Markets," NBER Working Papers 17295, National Bureau of Economic Research, Inc.
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- Xu, Hedong & Tian, Cunzhi & Ye, Wenxing & Fan, Suohai, 2018. "Effects of investors’ power correlations in the power-based game on networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 424-432.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020.
"Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes,"
GREDEG Working Papers
2020-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020. "Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes," Department of Economics Working Papers 20-04, Stony Brook University, Department of Economics.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020. "Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes," Working Papers 05/2020, University of Verona, Department of Economics.
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"Rational Groupthink,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 136(1), pages 621-668.
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- Marco Di Maggio & Marco Pagano, 2012.
"Financial Disclosure and Market Transparency with Costly Information Processing,"
EIEF Working Papers Series
1212, Einaudi Institute for Economics and Finance (EIEF), revised May 2014.
- Marco Di Maggio & Marco Pagano, 2018. "Financial Disclosure and Market Transparency with Costly Information Processing [Bargaining with incomplete information]," Review of Finance, European Finance Association, vol. 22(1), pages 117-153.
- Di Maggio, Marco & Pagano, Marco, 2014. "Financial disclosure and market transparency with costly information processing," CFS Working Paper Series 485, Center for Financial Studies (CFS).
- Pagano, Marco & Di Maggio, Marco, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CEPR Discussion Papers 9207, C.E.P.R. Discussion Papers.
- Marco di Maggio & Marco Pagano, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CSEF Working Papers 323, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 23 Jul 2016.
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"Inventory Management, Dealers' Connections, and Prices in OTC Markets,"
CEPR Discussion Papers
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- Colliard, Jean-Edouard & Foucault, Thierry & Hoffmann, Peter, 2018. "Inventory Management, Dealers' Connections, and Prices in OTC Markets," HEC Research Papers Series 1286, HEC Paris.
- Jean-Edouard Colliard & Thierry Foucault & Peter Hoffmann, 2018. "Inventory Management, Dealers' Connections, and Prices in OTC Markets," Working Papers hal-01933855, HAL.
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"Pricing and Liquidity in Decentralized Asset Markets,"
2016 Meeting Papers
128, Society for Economic Dynamics.
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"Dynamic directed random matching,"
Journal of Economic Theory, Elsevier, vol. 174(C), pages 124-183.
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- Darrell Duffie & Lei Qiao & Yeneng Sun, 2015. "Dynamic Directed Random Matching," NBER Working Papers 21731, National Bureau of Economic Research, Inc.
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"Brokers and Order Flow Leakage: Evidence from Fire Sales,"
Swiss Finance Institute Research Paper Series
17-61, Swiss Finance Institute, revised Jun 2018.
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- Andrea Barbon & Marco Di Maggio & Francesco Franzoni & Augustin Landier, 2019. "Brokers and Order Flow Leakage: Evidence from Fire Sales," Journal of Finance, American Finance Association, vol. 74(6), pages 2707-2749, December.
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"Liquidity misallocation in an over-the-counter market,"
LSE Research Online Documents on Economics
86800, London School of Economics and Political Science, LSE Library.
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- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2021.
"Zero‐intelligence versus human agents: An experimental analysis of the efficiency of Double Auctions and Over‐the‐Counter markets of varying sizes,"
Post-Print
hal-03520323, HAL.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2021. "Zero‐intelligence versus human agents: An experimental analysis of the efficiency of Double Auctions and Over‐the‐Counter markets of varying sizes," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 23(5), pages 895-932, October.
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"Over-the-Counter Markets vs Double Auctions: A Comparative Experimental Study,"
Department of Economics Working Papers
14-06, Stony Brook University, Department of Economics.
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"Search costs and the severity of adverse selection,"
Temi di discussione (Economic working papers)
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- Darrell Duffie & Semyon Malamud & Gustavo Manso, 2011.
"Information Percolation in Segmented Markets,"
NBER Working Papers
17295, National Bureau of Economic Research, Inc.
- Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO, 2010. "Information Percolation in Segmented Markets," Swiss Finance Institute Research Paper Series 10-09, Swiss Finance Institute.
- Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2014. "Information percolation in segmented markets," Journal of Economic Theory, Elsevier, vol. 153(C), pages 1-32.
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"Liquid bundles,"
Journal of Economic Theory, Elsevier, vol. 158(PB), pages 634-655.
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"Efficiency and information transmission in bilateral trading,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 154-176, July.
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"The search theory of OTC markets,"
CEPR Discussion Papers
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"The failure mechanics of dealer banks,"
BIS Working Papers
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- Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018.
"Bank-intermediated arbitrage,"
Staff Reports
858, Federal Reserve Bank of New York.
- Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018. "Bank-Intermediated Arbitrage," Liberty Street Economics 20181018, Federal Reserve Bank of New York.
- Boyarchenko, Nina & Eisenbach, Thomas & Gupta, Pooja & Shachar, Or & Van Tassel, Peter, 2020. "Bank-Intermediated Arbitrage," CEPR Discussion Papers 15097, C.E.P.R. Discussion Papers.
- Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima, 2014. "Impact of credit default swaps on financial contagion," Papers 1411.1356, arXiv.org.
- Huberto M. Ennis & Todd Keister, 2015.
"Optimal Banking Contracts and Financial Fragility,"
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15-6, Federal Reserve Bank of Richmond.
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- Huberto Ennis & Todd Keister, 2016. "Optimal banking contracts and financial fragility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(2), pages 335-363, February.
- Martin, A. & Skeie, D. & von Thadden, E.L., 2010.
"Repo Runs,"
Other publications TiSEM
e14f6c26-c077-46fb-92a8-8, Tilburg University, School of Economics and Management.
- Antoine Martin & David R. Skeie & Ernst-Ludwig von Thadden, 2010. "Repo runs," Staff Reports 444, Federal Reserve Bank of New York.
- Martin, A. & Skeie, D. & von Thadden, E.L., 2010. "Repo Runs," Discussion Paper 2010-44S, Tilburg University, Center for Economic Research.
- Martin, Antoine & Skeie, David & Thadden, Ernst-Ludwig von, 2013. "Repo Runs," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 448, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Martin, Antoine & Skeie, David & Thadden, Ernst-Ludwig, 2011. "Repo runs," LSE Research Online Documents on Economics 119064, London School of Economics and Political Science, LSE Library.
- Martin, A. & Skeie, D. & von Thadden, E.L., 2010. "Repo Runs," Other publications TiSEM 9b278253-9cc0-410a-a8c4-6, Tilburg University, School of Economics and Management.
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"Monitoring, Cross Subsidies, and Universal Banking,"
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"Systemic illiquidity in the interbank network,"
Bank of England working papers
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"Re-use of collateral: leverage, volatility, and welfare,"
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"Fire-Sale Spillovers and Systemic Risk,"
2014 Meeting Papers
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"The supply of long-term credit after a funding shock: evidence from 2007-2009,"
Documents de travail du Centre d'Economie de la Sorbonne
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NBER Chapters, in: Global Financial Crisis,
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"Governance, Risk Management, and Risk-Taking in Banks,"
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Cited by:
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"Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk,"
The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
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"Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization,"
SocArXiv
84xjn, Center for Open Science.
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- Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," FrenXiv ej7nz, Center for Open Science.
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- Xiao,Tim, 2018. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints 202075, ZBW - Leibniz Information Centre for Economics.
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Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
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FrenXiv
6m73z, Center for Open Science.
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American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
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The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(4), pages 1-19, April.
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BCRA Working Paper Series
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"Blockchain-based Settlement For Asset Trading,"
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"Relationship Trading in OTC Markets,"
Swiss Finance Institute Research Paper Series
17-30, Swiss Finance Institute.
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"ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds,"
CESifo Working Paper Series
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- Jeromin Zettelmeyer & Christoph Trebesch, 2018. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," Working Paper Series WP18-1, Peterson Institute for International Economics.
- Trebesch, Christoph & Zettelmeyer, Jeromin, 2018. "ECB interventions in distressed sovereign debt markets: The case of Greek bonds," Kiel Working Papers 2101, Kiel Institute for the World Economy (IfW Kiel).
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"Search-Based Models of Money and Finance: An Integrated Approach,"
Working Papers
709, Federal Reserve Bank of Minneapolis.
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"Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes,"
GREDEG Working Papers
2020-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020. "Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes," Department of Economics Working Papers 20-04, Stony Brook University, Department of Economics.
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- Gara M. dup Afonso, 2008.
"Liquidity and congestion,"
Staff Reports
349, Federal Reserve Bank of New York.
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"Heterogeneity in Decentralized Asset Markets,"
CEPR Discussion Papers
14274, C.E.P.R. Discussion Papers.
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- Pierre-Olivier Weill & Benjamin Lester & Julien Hugonnier, 2016. "Heterogeneity in decentralized asset markets," 2016 Meeting Papers 1014, Society for Economic Dynamics.
- Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2014. "Heterogeneity in Decentralized Asset Markets," NBER Working Papers 20746, National Bureau of Economic Research, Inc.
- Hugonnier, Julien & Lester, Ben & Weill, Pierre-Olivier, 2019. "Heterogeneity in Decentralized Asset Markets," CEPR Discussion Papers 14014, C.E.P.R. Discussion Papers.
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- Anthony Jerome Anderson & Michael Stuart Long, 2017. "Explaining the On-The-Run Puzzle with Corporate Bonds," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-36, June.
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- Lasse Pedersen, 2009.
"When Everyone Runs for the Exit,"
International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
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- Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2020.
"Effective risk aversion in thin risk‐sharing markets,"
Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1565-1590, October.
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"How Do Foreclosures Exacerbate Housing Downturns?,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(3), pages 1331-1364.
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- Timothy McQuade & Adam Guren, 2015. "How Do Foreclosures Exacerbate Housing Downturns?," 2015 Meeting Papers 40, Society for Economic Dynamics.
- Adam M. Guren & Timothy J. McQuade, 2019. "How Do Foreclosures Exacerbate Housing Downturns?," NBER Working Papers 26216, National Bureau of Economic Research, Inc.
- Bluhm, Marcel, 2018. "Persistent liquidity shocks and interbank funding," Journal of Financial Stability, Elsevier, vol. 36(C), pages 246-262.
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"Discriminatory Pricing of Over-the-Counter Derivatives,"
Swiss Finance Institute Research Paper Series
17-70, Swiss Finance Institute.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory pricing of over-the-counter derivatives," ESRB Working Paper Series 61, European Systemic Risk Board.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021. "Discriminatory Pricing of Over-the-Counter Derivatives," Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
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- Jean-Edouard Colliard & Gabrielle Demange, 2021.
"Asset Dissemination Through Dealer Markets,"
Post-Print
halshs-03238403, HAL.
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- Jean-Edouard Colliard & Gabrielle Demange, 2021. "Asset Dissemination Through Dealer Markets," PSE-Ecole d'économie de Paris (Postprint) halshs-03238403, HAL.
- Jean-Edouard Colliard & Gabrielle Demange, 2021. "Asset Dissemination Through Dealer Markets," Management Science, INFORMS, vol. 67(10), pages 6211-6234, October.
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"What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration,"
NBER Working Papers
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"Portfolio Choice with Illiquid Assets,"
NBER Working Papers
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"Intermediary Asset Pricing,"
2010 Meeting Papers
1327, Society for Economic Dynamics.
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"Liquidity in asset markets with search frictions,"
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- Ricardo Lagos & Guillaume Rocheteau, 2009. "Liquidity in Asset Markets With Search Frictions," Econometrica, Econometric Society, vol. 77(2), pages 403-426, March.
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"OTC Premia,"
Working Papers on Finance
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- Ben Lester & Braz Camargo, 2011. "Trading Dynamics in Decentralized Markets with Adverse Selection," 2011 Meeting Papers 1300, Society for Economic Dynamics.
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"Decentralized trading with private information,"
2008 Meeting Papers
391, Society for Economic Dynamics.
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"Financial Intermediation Chains in an OTC Market,"
FRB Atlanta Working Paper
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- Taneli Mäkinen & Francesco Palazzo, 2017. "The double bind of asymmetric information in over-the-counter markets," Temi di discussione (Economic working papers) 1128, Bank of Italy, Economic Research and International Relations Area.
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"Pricing and Liquidity in Decentralized Asset Markets,"
2016 Meeting Papers
128, Society for Economic Dynamics.
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- Semih Üslü, 2019. "Pricing and Liquidity in Decentralized Asset Markets," Econometrica, Econometric Society, vol. 87(6), pages 2079-2140, November.
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"Asset prices and liquidity in an exchange economy,"
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"Liquidity and asset-market dynamics,"
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- Randall Wright & Guillaume Rocheteau, 2011. "Liquidity and Asset Market Dynamics," 2011 Meeting Papers 103, Society for Economic Dynamics.
- Guillaume Rocheteau & Randall Wright, 2010. "Liquidity and asset market dynamics," Working Papers (Old Series) 1016, Federal Reserve Bank of Cleveland.
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"The Exact Law of Large Numbers for Independent Random Matching,"
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- Benjamin Lester & Ludo Visschers & Ronald Wolthoff, 2014.
"Meeting Technologies and Optimal Trading Mechanisms in Competitive Search Markets,"
Edinburgh School of Economics Discussion Paper Series
242, Edinburgh School of Economics, University of Edinburgh.
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- Lester, Benjamin R. & Visschers, Ludo & Wolthoff, Ronald P., 2014. "Meeting Technologies and Optimal Trading Mechanisms in Competitive Search Markets," IZA Discussion Papers 8357, Institute of Labor Economics (IZA).
- Lester, Benjamin & Visschers, Ludo & Wolthoff, Ronald, 2015. "Meeting technologies and optimal trading mechanisms in competitive search markets," Journal of Economic Theory, Elsevier, vol. 155(C), pages 1-15.
- Benjamin Lester & Ludo Visschers & Ronald Wolthoff, 2014. "Meeting Technologies and Optimal Trading Mechanisms in Competitive Search Markets," Working Papers tecipa-508, University of Toronto, Department of Economics.
- Lester, Benjamin & Visschers, Ludo & Wolthoff, Ronald, 2014. "Meeting technologies and optimal trading mechanisms in competitive search markets," UC3M Working papers. Economics we1409, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Lester, Benjamin & Visschers, Ludo & Wolthoff, Ronald, 2014. "Meeting technologies and optimal trading mechanisms in competitive search markets," SIRE Discussion Papers 2015-36, Scottish Institute for Research in Economics (SIRE).
- Ronald Wolthoff & Ludo Visschers & Benjamin Lester, 2014. "Meeting Technologies and Optimal Trading Mechanisms in Competitive Search Marks," 2014 Meeting Papers 188, Society for Economic Dynamics.
- Anton Tsoy, 2016. "Liquidity and Prices in Decentralized Markets with Almost Public Information," 2016 Meeting Papers 8, Society for Economic Dynamics.
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"Crises and Liquidity in Over-the-counter Markets,"
2010 Meeting Papers
500, Society for Economic Dynamics.
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"A Search Model of Centralzied and Decentralized Trade,"
Boston University - Department of Economics - The Institute for Economic Development Working Papers Series
dp-144, Boston University - Department of Economics.
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"Investor-Driven Corporate Finance: Evidence from Insurance Markets,"
ECONtribute Discussion Papers Series
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Other publications TiSEM
6316f2ea-660e-4b55-82fc-1, Tilburg University, School of Economics and Management.
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- Glode, V. & Green, R.C. & Lowery, R., 2010. "Financial Expertise as an Arms Race," Other publications TiSEM 7f1ffc85-7ad2-4d99-82a2-b, Tilburg University, School of Economics and Management.
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"Liquidity Shocks and Order Book Dynamics,"
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GSIA Working Papers
2005-E4, Carnegie Mellon University, Tepper School of Business.
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Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
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"Multi-Period Corporate Default Prediction With Stochastic Covariates,"
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"‘In the Short Run Blasé, in the Long Run Risqué’. On the Effects of Monetary Policy on Bank Credit Risk-Taking in the Short versus Long Run,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 18(3), pages 181-226.
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"Unexpected loan losses and bank capital in an estimated DSGE model of the euro area,"
Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 161-186.
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"Credit cycles and macro fundamentals,"
CFS Working Paper Series
2006/33, Center for Financial Studies (CFS).
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"The Multi-State Latent Factor Intensity Model for Credit Rating Transitions,"
Tinbergen Institute Discussion Papers
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"Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios,"
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Tinbergen Institute Discussion Papers
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"Low Inflation: High Default Risk AND High Equity Valuations,"
CESifo Working Paper Series
7391, CESifo.
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"Reorganization or Liquidation: Bankruptcy Choice and Firm Dynamics,"
NBER Working Papers
23515, National Bureau of Economic Research, Inc.
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"Valuation of European firms during the Russia-Ukraine war,"
MPRA Paper
113791, University Library of Munich, Germany.
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"On reduced-form intensity-based model with ‘trigger’ events,"
Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(3), pages 331-339, March.
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"The Levered Equity Risk Premium and Credit Spreads: A Unified Framework,"
CEPR Discussion Papers
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"Monetary Policy, Risk-Taking, and Pricing : Evidence from a Quasi-Natural Experiment,"
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2009-31 S, Tilburg University, Center for Economic Research.
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"Did mergers help Japanese mega-banks avoid failure? Analysis of the distance to default of banks,"
Journal of the Japanese and International Economies, Elsevier, vol. 25(1), pages 1-22, March.
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"Securitization Rating Performance and Agency Incentives,"
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"Hazardous times for monetary policy: what do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 82(2), pages 463-505.
- Gabriel Jiménez & Steven Ongena & José Luis Peydró & Jesús Saurina, 2009. "Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?," Working Papers 0833, Banco de España.
- Gabriel Jiménez & Steven Ongena & José‐Luis Peydró & Jesús Saurina, 2014. "Hazardous Times for Monetary Policy: What Do Twenty‐Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk‐Taking?," Econometrica, Econometric Society, vol. 82(2), pages 463-505, March.
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"Measuring Financial Fragmentation in the Euro Area Corporate Bond Market,"
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"Of Religion and Redemption : Evidence from Default on Islamic Loans (Replaces CentER DP 2010-136),"
Other publications TiSEM
44a4a19c-3959-4e99-b96b-4, Tilburg University, School of Economics and Management.
- Baele, L. & Farooq, M. & Ongena, S., 2012. "Of Religion and Redemption : Evidence from Default on Islamic Loans (Replaces CentER DP 2010-136)," Discussion Paper 2012-014, Tilburg University, Center for Economic Research.
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"Forecasting Distress in European SME Portfolios,"
MPRA Paper
53572, University Library of Munich, Germany.
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"Firm heterogeneity and trade-induced layoffs: An empirical investigation,"
European Economic Review, Elsevier, vol. 75(C), pages 80-97.
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"Market conditions, default risk and credit spreads,"
Discussion Paper Series 2: Banking and Financial Studies
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"Financing Asset Sales and Business Cycles,"
Swiss Finance Institute Research Paper Series
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- Petru Tunde Petra & Farkas Dalma - Zsuzsa & Furdek Balazs - Marton & Marton Noemi, Racz Timea Erzsebet, 2011. "Empirical Study Of The Probability Of Default In Case Of Romanian Companies Listed On Stock Exchange," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 515-523, July.
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University of California at Los Angeles, Anderson Graduate School of Management
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Articles
- Daniel Chen & Darrell Duffie, 2021.
"Market Fragmentation,"
American Economic Review, American Economic Association, vol. 111(7), pages 2247-2274, July.
Cited by:
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Working Papers ECARES
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- Estelle Cantillon & Aurélie Slechten, 2024. "Market Design for the Environment," NBER Chapters, in: New Directions in Market Design, National Bureau of Economic Research, Inc.
- Estelle Cantillon & Aurélie Slechten, 2023. "Market Design for the Environment," NBER Working Papers 31987, National Bureau of Economic Research, Inc.
- Marzena Rostek & Ji Hee Yoon, 2021. "Exchange Design and Efficiency," Econometrica, Econometric Society, vol. 89(6), pages 2887-2928, November.
- Jason Allen & Milena Wittwer, 2021.
"Centralizing Over-the-Counter Markets?,"
Staff Working Papers
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- Jason Allen & Milena Wittwer, 2023. "Centralizing Over-the-Counter Markets?," Journal of Political Economy, University of Chicago Press, vol. 131(12), pages 3310-3351.
- Justin Cox & Kathleen P. Fuller & Robert Van Ness, 2024. "Where does ex‐dividend trading occur: An examination of trading venues around dividends," The Financial Review, Eastern Finance Association, vol. 59(1), pages 31-55, February.
- Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
- Simone Alfarano & Albert Banal-Estañol & Eva Camacho & Giulia Iori & Burcu Kapar & Rohit Rahi, 2024.
"Centralized vs Decentralized Markets: The Role of Connectivity,"
Working Papers
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- Anthropelos, Michail & Kardaras, Constantinos, 2024. "Price impact under heterogeneous beliefs and restricted participation," Journal of Economic Theory, Elsevier, vol. 215(C).
- Justin Cox & Bonnie Van Ness & Robert Van Ness, 2022. "The dark side of IPOs: Examining where and who trades in the IPO secondary market," Financial Management, Financial Management Association International, vol. 51(4), pages 1091-1126, December.
- Baldauf, Markus & Mollner, Joshua & Yueshen, Bart Zhou, 2024. "Siphoned apart: A portfolio perspective on order flow segmentation," Journal of Financial Economics, Elsevier, vol. 154(C).
- Lou, Youcheng & Rahi, Rohit, 2023. "Information, market power and welfare," Journal of Economic Theory, Elsevier, vol. 214(C).
- Lou, Youcheng & Rahi, Rohit, 2023. "Information, market power and welfare," LSE Research Online Documents on Economics 120479, London School of Economics and Political Science, LSE Library.
- Guo, Wen & Liu, Xiaorui, 2022. "Market fragmentation of energy resource prices and green total factor energy efficiency in China," Resources Policy, Elsevier, vol. 76(C).
- Estelle Cantillon & Aurelie Slechten, 2024.
"Market Design for the Environment,"
Working Papers ECARES
2024-02, ULB -- Universite Libre de Bruxelles.
- Samuel Antill & Darrell Duffie, 2021.
"Augmenting Markets with Mechanisms [Optimal Execution of Portfolio Transactions],"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(4), pages 1665-1719.
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- Zhu, Jianchang & Sun, Xuchu & Li, Tangrong, 2024. "Execution uncertainty of dark pools and portfolio balance," Finance Research Letters, Elsevier, vol. 63(C).
- Duffie, Darrell & Dworczak, Piotr, 2021.
"Robust benchmark design,"
Journal of Financial Economics, Elsevier, vol. 142(2), pages 775-802.
See citations under working paper version above.
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- Darrell Duffie, 2019.
"Prone to Fail: The Pre-crisis Financial System,"
Journal of Economic Perspectives, American Economic Association, vol. 33(1), pages 81-106, Winter.
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- Abbassi, Puriya & Iyer, Rajkamal & Peydró, José-Luis & Soto, Paul, 2020.
"Stressed Banks? Evidence from the Largest-Ever Supervisory Review,"
EconStor Preprints
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- Puriya Abbassi & Rajkamal Iyer & José-Luis Peydró & Paul E. Soto, 2020. "Stressed Banks? Evidence from the Largest-Ever Supervisory Review," Working Papers 1178, Barcelona School of Economics.
- Abbassi, Puriya & Iyer, Rajkamal & Peydró, José-Luis & Soto, Paul E., 2020. "Stressed banks? Evidence from the largest-ever supervisory review," Discussion Papers 26/2020, Deutsche Bundesbank.
- Puriya Abbassi & Rajkamal Iyer & José-Luis Peydró & Paul E. Soto, 2020. "Stressed banks? Evidence from the largest-ever supervisory review," Economics Working Papers 1721, Department of Economics and Business, Universitat Pompeu Fabra.
- Puriya Abbassi & Rajkamal Iyer & José-Luis Peydró & Paul E. Soto, 2023. "Stressed Banks? Evidence from the Largest-Ever Supervisory Review," Finance and Economics Discussion Series 2023-021, Board of Governors of the Federal Reserve System (U.S.).
- Wee Chian Koh & Shu Yu, 2021.
"A Decade After the 2009 Global Recession: Macroeconomic Developments,"
Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-24, June.
- Koh,Wee Chian & Yu,Shu, 2020. "A Decade after the 2009 Global Recession : Macroeconomic Developments," Policy Research Working Paper Series 9290, The World Bank.
- Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
- Elif C. Arbatli & Steven J. Davis & Arata Ito & Naoko Miake, 2017.
"Policy Uncertainty In Japan,"
NBER Working Papers
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- Arbatli Saxegaard, Elif C. & Davis, Steven J. & Ito, Arata & Miake, Naoko, 2022. "Policy uncertainty in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 64(C).
- Hacıoğlu Hoke, Sinem & Aikman, David & Bridges, Jonathan & O'Neill, Cian & Raja, Akash, 2021.
"Credit, capital and crises: a GDP-at-Risk approach,"
CEPR Discussion Papers
15864, C.E.P.R. Discussion Papers.
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- Maxime Delabarre, 2020. "Could the 1933 Glass-Steagall Act have prevented the financial crisis?," Working Papers hal-03014511, HAL.
- Nicholas A. Curott & Tyler Watts & Benjamin R. Thrasher, 2020. "Government-Cheerleading Bias in Money and Banking Textbooks," Econ Journal Watch, Econ Journal Watch, vol. 17(1), pages 1-98–151, March.
- Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.
- Fantacci, Luca & Lorenzini, Marcella, 2024. "Technology versus trust: Non-bank credit systems from notarized loans in Early Modern Europe to cryptolending," Structural Change and Economic Dynamics, Elsevier, vol. 69(C), pages 83-95.
- Steven J. Davis, 2019. "Rising Policy Uncertainty," NBER Working Papers 26243, National Bureau of Economic Research, Inc.
- Günsür, Başak Tanyeri & Bulut, Emre, 2022. "Investor reactions to major events in the sub-prime mortgage crisis," Finance Research Letters, Elsevier, vol. 47(PB).
- Leif Andersen & Darrell Duffie & Yang Song, 2019.
"Funding Value Adjustments,"
Journal of Finance, American Finance Association, vol. 74(1), pages 145-192, February.
Cited by:
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"Bank Funding Risk, Reference Rates, and Credit Supply,"
Research Papers
4066, Stanford University, Graduate School of Business.
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Journal of International Money and Finance, Elsevier, vol. 120(C).
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"XVA analysis from the balance sheet,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 99-123, January.
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Journal of Finance, American Finance Association, vol. 76(6), pages 2763-2803, December.
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"A consistent stochastic model of the term structure of interest rates for multiple tenors,"
Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
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"The Cost of Clearing Fragmentation,"
Management Science, INFORMS, vol. 70(6), pages 3581-3596, June.
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"Bank Funding Risk, Reference Rates, and Credit Supply,"
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"Financial Regulatory Reform After the Crisis: An Assessment,"
Management Science, INFORMS, vol. 64(10), pages 4835-4857, October.
Cited by:
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"Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark,"
Journal of Financial Economics, Elsevier, vol. 143(1), pages 569-592.
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- Zhiguo He & Stefan Nagel & Zhaogang Song, 2020.
"Treasury Inconvenience Yields during the COVID-19 Crisis,"
NBER Working Papers
27416, National Bureau of Economic Research, Inc.
- He, Zhiguo & Nagel, Stefan & Song, Zhaogang, 2022. "Treasury inconvenience yields during the COVID-19 crisis," Journal of Financial Economics, Elsevier, vol. 143(1), pages 57-79.
- Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
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"Are bank capital requirements optimally set? Evidence from researchers' views,"
Bank of Finland Research Discussion Papers
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- Cereda, Fábio & Chague, Fernando & De-Losso, Rodrigo & Genaro, Alan & Giovannetti, Bruno, 2022.
"Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark,"
Journal of Financial Economics, Elsevier, vol. 143(1), pages 569-592.
- Duffie, Darrell & Qiao, Lei & Sun, Yeneng, 2018.
"Dynamic directed random matching,"
Journal of Economic Theory, Elsevier, vol. 174(C), pages 124-183.
See citations under working paper version above.
- Duffie, Darrell & Qiao, Lei & Sun, Yeneng, 2017. "Dynamic Directed Random Matching," Research Papers repec:ecl:stabus:3359, Stanford University, Graduate School of Business.
- Darrell Duffie & Lei Qiao & Yeneng Sun, 2015. "Dynamic Directed Random Matching," NBER Working Papers 21731, National Bureau of Economic Research, Inc.
- Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018.
"Corporate Credit Risk Premia [Fallen angels and price pressure],"
Review of Finance, European Finance Association, vol. 22(2), pages 419-454.
Cited by:
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"A multilevel factor approach for the analysis of CDS commonality and risk contribution,"
CREATES Research Papers
2018-33, Department of Economics and Business Economics, Aarhus University.
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- Yihong Ma, Simon Cottrell, Sarath Delpachitra, Xiao Yu, Ping Jiang, and Quan Tran Ha Minh, 2023. "What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
- Michael Schwert, 2020. "Does Borrowing from Banks Cost More than Borrowing from the Market?," Journal of Finance, American Finance Association, vol. 75(2), pages 905-947, April.
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"Stress Relief?: Funding Structures and Resilience to the Covid Shock,"
NBER Working Papers
31255, National Bureau of Economic Research, Inc.
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- Forbes, Kristin & Friedrich, Christian & Reinhardt, Dennis, 2023. "Stress Relief? Funding Structures and Resilience to the Covid Shock," CEPR Discussion Papers 17852, C.E.P.R. Discussion Papers.
- Forbes, Kristin & Friedrich, Christian & Reinhardt, Dennis, 2022. "Stress relief? Funding structures and resilience to the Covid Shock," Bank of England working papers 1003, Bank of England.
- Kristin Forbes & Christian Friedrich & Dennis Reinhardt, 2023. "Stress Relief? Funding Structures and Resilience to the Covid Shock," Staff Working Papers 23-7, Bank of Canada.
- Antti J. Harju, 2023. "A Rank Estimator Approach to Modeling Default Frequencies," JRFM, MDPI, vol. 16(10), pages 1-17, October.
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- Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018.
"Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads,"
CEPR Discussion Papers
12857, C.E.P.R. Discussion Papers.
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- Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018.
"A multilevel factor approach for the analysis of CDS commonality and risk contribution,"
CREATES Research Papers
2018-33, Department of Economics and Business Economics, Aarhus University.
- Darrell Duffie & Haoxiang Zhu, 2017.
"Size Discovery,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1095-1150.
See citations under working paper version above.
- Darrell Duffie & Haoxiang Zhu, 2015. "Size Discovery," NBER Working Papers 21696, National Bureau of Economic Research, Inc.
- Duffie, Darrell & Zhu, Haoxiang, 2016. "Size Discovery," Research Papers 3345, Stanford University, Graduate School of Business.
- Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2017.
"Benchmarks in Search Markets,"
Journal of Finance, American Finance Association, vol. 72(5), pages 1983-2044, October.
See citations under working paper version above.
- Piotr Dworczak & Haoxiang Zhu & Darrell Duffie, 2015. "Benchmarks in Search Markets," 2015 Meeting Papers 51, Society for Economic Dynamics.
- Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2014. "Benchmarks in Search Markets," NBER Working Papers 20620, National Bureau of Economic Research, Inc.
- Duffie, Darrell & Dworczak, Piotr & Zhu, Haoxiang, 2014. "Benchmarks in Search Markets," Research Papers 3190, Stanford University, Graduate School of Business.
- Darrell Duffie & Jeremy C. Stein, 2015.
"Reforming LIBOR and Other Financial Market Benchmarks,"
Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 191-212, Spring.
Cited by:
- Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019.
"Covered Interest Parity Deviations: Macrofinancial Determinants,"
IMF Working Papers
2019/014, International Monetary Fund.
- Cerutti, Eugenio M. & Obstfeld, Maurice & Zhou, Haonan, 2021. "Covered interest parity deviations: Macrofinancial determinants," Journal of International Economics, Elsevier, vol. 130(C).
- Eugenio M. Cerutti & Maurice Obstfeld & Haonan Zhou, 2020. "Covered Interest Parity Deviations: Macrofinancial Determinants," NBER Chapters, in: NBER International Seminar on Macroeconomics 2020, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Cerutti, Eugenio & Zhou, Haonan, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," CEPR Discussion Papers 13886, C.E.P.R. Discussion Papers.
- Eugenio M. Cerutti & Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," NBER Working Papers 26129, National Bureau of Economic Research, Inc.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020.
"Mildly Explosive Dynamics in U.S. Fixed Income Markets,"
Working Papers
667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, "undated". "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series 1001, Economics Department, Pomona College, revised 12 Feb 2020.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2017. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Globalization Institute Working Papers 324, Federal Reserve Bank of Dallas.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019.
"Benchmark Interest Rates When the Government is Risky,"
NBER Working Papers
26429, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2019. "Benchmark interest rates when the government is risky," CEPR Discussion Papers 14105, C.E.P.R. Discussion Papers.
- Augustin, P. & Chernov, M. & Schmid, L. & Song, D., 2021. "Benchmark interest rates when the government is risky," Journal of Financial Economics, Elsevier, vol. 140(1), pages 74-100.
- Mielus Piotr, 2019. "How to Measure the Economic Integrity of Ibor Panels? A Behavioural Approach," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(1), pages 51-73, March.
- Kirti, Divya, 2022.
"What are reference rates for?,"
Journal of Banking & Finance, Elsevier, vol. 144(C).
- Mr. Divya Kirti, 2017. "What Are Reference Rates For?," IMF Working Papers 2017/013, International Monetary Fund.
- Cooperman, Harry & Duffie, Darrell & Luck, Stephan & Wang, Zachry & Yang, Yilin (David), 2022.
"Bank Funding Risk, Reference Rates, and Credit Supply,"
Research Papers
4066, Stanford University, Graduate School of Business.
- Darrell Duffie & Cooperman Harry & Stephan Luck & Zachry Wang & Yilin Yang, 2022. "Bank Funding Risk, Reference Rates, and Credit Supply," Staff Reports 1042, Federal Reserve Bank of New York.
- Harry R. Cooperman & Darrell Duffie & Stephan Luck & Zachry Z. Wang & Yilin Yang, 2023. "Bank Funding Risk, Reference Rates, and Credit Supply," NBER Working Papers 30907, National Bureau of Economic Research, Inc.
- Alex Frino & Michael Garcia, 2018. "Price discovery in short‐term interest rate markets: Futures versus swaps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1179-1188, October.
- Ahmed Baig & Drew B. Winters, 2022. "The search for a new reference rate," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 939-976, April.
- Li, Ming & Sun, Hang & Zong, Jichuan, 2021. "Intertemporal imitation behavior of interbank offered rate submissions," Journal of Banking & Finance, Elsevier, vol. 132(C).
- Lilian Muchimba, 2021. "Could transaction-based financial benchmarks be susceptible to collusive behaviour?," Working Papers in Economics & Finance 2021-11, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Duffie, Darrell & Dworczak, Piotr, 2021.
"Robust benchmark design,"
Journal of Financial Economics, Elsevier, vol. 142(2), pages 775-802.
- Duffie, Darrell & Dworczak, Piotr, 2018. "Robust Benchmark Design," Research Papers 3175, Stanford University, Graduate School of Business.
- Darrell Duffie & Piotr Dworczak, 2014. "Robust Benchmark Design," NBER Working Papers 20540, National Bureau of Economic Research, Inc.
- Nuria Boot & Timo Klein & Maarten Pieter Schinkel, 2017. "Collusive Benchmark Rates Fixing," Discussion Papers of DIW Berlin 1715, DIW Berlin, German Institute for Economic Research.
- Saroyan, Susanna, 2022. "Counterparty choice, maturity shifts and market freezes: lessons from the e-MID interbank market," INET Oxford Working Papers 2022-28, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," KAE Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
- Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2019.
"Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation,"
Management Science, INFORMS, vol. 65(11), pages 5268-5289, November.
- Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2017. "Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation," Swiss Finance Institute Research Paper Series 17-53, Swiss Finance Institute.
- Ren'e Aid & Giorgia Callegaro & Luciano Campi, 2019. "No-Arbitrage Commodity Option Pricing with Market Manipulation," Papers 1909.07896, arXiv.org, revised Mar 2020.
- Thomas B. King & Kurt F. Lewis, 2020.
"Credit Risk, Liquidity, and Lies,"
International Journal of Central Banking, International Journal of Central Banking, vol. 16(5), pages 219-267, October.
- Thomas B. King & Kurt F. Lewis, 2015. "Credit Risk, Liquidity and Lies," Finance and Economics Discussion Series 2015-112, Board of Governors of the Federal Reserve System (U.S.).
- Stenfors, Alexis, 2018.
"Bid-ask spread determination in the FX swap market: Competition, collusion or a convention?,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 54(C), pages 78-97.
- Alexis Stenfors, 2017. "Bid-Ask Spread Determination in the FX Swap Market: Competition, Collusion or a Convention?," Working Papers in Economics & Finance 2017-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Robert Clark & Shaoteng Li, 2022.
"The Strategic Response of Banks to Macroprudential Policies: Evidence from Mortgage Stress Tests in Canada [LIBOR manipulation?],"
Review of Finance, European Finance Association, vol. 26(1), pages 187-216.
- Robert Clark & Shaoteng Li, 2020. "The strategic response of banks to macroprudential policies: Evidence from mortgage stress tests in Canada," Working Paper 1445, Economics Department, Queen's University.
- Nechi, Salem & Smaoui, Houcem Eddine, 2019. "Interbank offered rates in Islamic countries: Is the Islamic benchmark different from the conventional benchmarks?," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 75-84.
- Bahoo, Salman, 2020. "Corruption in banks: A bibliometric review and agenda," Finance Research Letters, Elsevier, vol. 35(C).
- Urban Jermann, 2024.
"Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 65(2), pages 141-152, June.
- Urban Jermann, 2021. "Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans," NBER Working Papers 29614, National Bureau of Economic Research, Inc.
- Wenqian Huang & Karamfil Todorov, 2022. "The post-Libor world: a global view from the BIS derivatives statistics," BIS Quarterly Review, Bank for International Settlements, December.
- Gelman, Michael & Khan, Zaheer & Shoham, Amir & Tarba, Shlomo Y., 2021. "Does local competition and firm market power affect investment adviser misconduct?," Journal of Corporate Finance, Elsevier, vol. 66(C).
- David Chambers & Elroy Dimson & Christophe Spaenjers, 0.
"Art as an Asset: Evidence from Keynes the Collector,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(3), pages 490-520.
- Chambers, David & , & Spaenjers, Christophe, 2020. "Art as an Asset: Evidence from Keynes the Collector," CEPR Discussion Papers 14357, C.E.P.R. Discussion Papers.
- Dr. Daniel Kohler & Dr. Benjamin Müller, 2019. "Covered interest rate parity, relative funding liquidity and cross-currency repos," Working Papers 2019-05, Swiss National Bank.
- Müller, Alexander & Paulick, Jan, 2020. ""The devil is in the details, but so is salvation": Different approachesin money market measurement," Discussion Papers 66/2020, Deutsche Bundesbank.
- Hongcheng Ding & Xuanze Zhao & Zixiao Jiang & Shamsul Nahar Abdullah & Deshinta Arrova Dewi, 2024. "EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods," Papers 2408.13214, arXiv.org.
- Antje Berndt & Darrell Duffie & Yichao Zhu, 2023. "Across‐the‐Curve Credit Spread Indices," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 32(3), pages 115-130, August.
- Zhang, Anthony Lee, 2022. "Competition and manipulation in derivative contract markets," Journal of Financial Economics, Elsevier, vol. 144(2), pages 396-413.
- Lartey, Theophilus & James, Gregory A. & Danso, Albert & Boateng, Agyenim, 2023. "Interbank market structure, bank conduct, and performance: Evidence from the UK," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 1-25.
- Hélène Rainelli & Hélène Rainelli-Weiss, 2019. "Recherche en finance : quand la performativité invite à la réflexivité," Post-Print halshs-02025011, HAL.
- Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2017.
"Segmented money markets and covered interest parity arbitrage,"
BIS Working Papers
651, Bank for International Settlements.
- Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2017. "Segmented money markets and covered interest parity arbitrage," Working Paper 2017/15, Norges Bank.
- Chen, Jiakai, 2021. "LIBOR's poker," Journal of Financial Markets, Elsevier, vol. 55(C).
- Andreas Schrimpf & Vladyslav Sushko, 2019. "Beyond LIBOR: a primer on the new benchmark rates," BIS Quarterly Review, Bank for International Settlements, March.
- Rama Cont & Xin Guo & Renyuan Xu, 2020. "Pareto Optima for a Class of Singular Control Games," Working Papers hal-03049246, HAL.
- Alexander Eisl & Rainer Jankowitsch & Marti G. Subrahmanyam, 2017. "The Manipulation Potential of Libor and Euribor," European Financial Management, European Financial Management Association, vol. 23(4), pages 604-647, September.
- Aquilina, Matteo & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2022. "The visible hand: benchmarks, regulation, and liquidity," Journal of Financial Markets, Elsevier, vol. 61(C).
- Nils Herger, 2017. "Testing the interest parity condition with Irving Fisher's example of Indian rupee and sterling bonds in the London financial market (1869 - 1906)," Working Papers 17.04, Swiss National Bank, Study Center Gerzensee.
- Bachmair, K., 2023. "The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets," Cambridge Working Papers in Economics 2303, Faculty of Economics, University of Cambridge.
- Brian Coulter & Joel Shapiro & Peter Zimmerman, 2018. "A Mechanism for LIBOR [Optimal selling strategies under uncertainty for a discriminating monopolist when demands are interdependent]," Review of Finance, European Finance Association, vol. 22(2), pages 491-520.
- Rodríguez-López, Araceli & Fernández-Abascal, Hermenegildo & Maté-García, Jorge-Julio & Rodríguez-Fernández, José-Miguel & Rojo-García, José-Luis & Sanz-Gómez, José-Antonio, 2021. "Evaluating Euribor Manipulation: Effects on Mortgage Borrowers," Finance Research Letters, Elsevier, vol. 40(C).
- Frino, Alex & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2018. "The impact of commodity benchmarks on derivatives markets: The case of the dated Brent assessment and Brent futures," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 27-43.
- Nuria Boot & Timo Klein & Maarten Pieter Schinkel, 2017. "Collusive Benchmark Rates Fixing," Tinbergen Institute Discussion Papers 17-122/VII, Tinbergen Institute, revised 17 Apr 2019.
- Karel Hrazdil & Jiyuan Li & Gerald Lobo & Ray Zhang, 2024. "CFO facial beauty and bank loan contracting," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 975-1009, March.
- Aïd, René & Callegaro, Giorgia & Campi, Luciano, 2020. "No-arbitrage commodity option pricing with market manipulation," LSE Research Online Documents on Economics 103815, London School of Economics and Political Science, LSE Library.
- Piotr Mielus, 2016. "Dylematy reformy indeksów rynku finansowego," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 91-114.
- Conlon, Thomas & Huan, Xing & Muckley, Cal B., 2024. "Does national culture influence malfeasance in banks around the world?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
- Herrera, Rubén & Climent, Francisco & Carmona, Pedro & Momparler, Alexandre, 2022. "The manipulation of Euribor: An analysis with machine learning classification techniques," Technological Forecasting and Social Change, Elsevier, vol. 176(C).
- Rama Cont & Xin Guo & Renyuan Xu, 2021. "Interbank lending with benchmark rates: Pareto optima for a class of singular control games," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1357-1393, October.
- Hasan Dinçer & Serhat Yüksel & Fatih Pınarbaşı & Mehmet Ali Alhan, 2020. "Risky Financial Assets in Financial Integration and the Impacts of Derivatives on Banking Returns," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi (ed.), Risk Factors and Contagion in Commodity Markets and Stocks Markets, chapter 6, pages 133-159, World Scientific Publishing Co. Pte. Ltd..
- Pontines, Victor & Rummel, Ole, 2023. "LIBOR meets machine learning: A Lasso regression approach to detecting data irregularities," Finance Research Letters, Elsevier, vol. 55(PA).
- Marcin Dec, 2018. "On the trade-offs in money market benchmarks' stabilisation," KAE Working Papers 2018-039, Warsaw School of Economics, Collegium of Economic Analysis.
- Xing Huan & Gary John Previts & Antonio Parbonetti, 2023. "Understanding the LIBOR scandal: the historical, the ethical, and the technological," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(4), pages 403-419, December.
- Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.
- Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019.
"Covered Interest Parity Deviations: Macrofinancial Determinants,"
IMF Working Papers
2019/014, International Monetary Fund.
- Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2015.
"Reprint of: Information percolation in segmented markets,"
Journal of Economic Theory, Elsevier, vol. 158(PB), pages 838-869.
Cited by:
- Marco Di Maggio & Mark L. Egan & Francesco Franzoni, 2019. "The Value of Intermediation in the Stock Market," NBER Working Papers 26147, National Bureau of Economic Research, Inc.
- Franzoni, Francesco & Di Maggio, Marco & Egan, Mark, 2019. "The Value of Intermediation in the Stock Market," CEPR Discussion Papers 13936, C.E.P.R. Discussion Papers.
- Di Maggio, Marco & Egan, Mark & Franzoni, Francesco, 2022. "The value of intermediation in the stock market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 208-233.
- Tatiana Ponomarenko & Eugene Marin & Sergey Galevskiy, 2022. "Economic Evaluation of Oil and Gas Projects: Justification of Engineering Solutions in the Implementation of Field Development Projects," Energies, MDPI, vol. 15(9), pages 1-22, April.
- Lewis, Kurt F. & Longstaff, Francis A. & Petrasek, Lubomir, 2021. "Asset mispricing," Journal of Financial Economics, Elsevier, vol. 141(3), pages 981-1006.
- Cujean, Julien, 2018. "Idea Sharing and the Performance of Mutual Funds," CEPR Discussion Papers 13111, C.E.P.R. Discussion Papers.
- Ruiz-Buforn, Alba & Alfarano, Simone & Camacho-Cuena, Eva, 2019. "Price distortions and public information: theory, experiments and simulations," MPRA Paper 93288, University Library of Munich, Germany.
- Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek, 2017. "Asset Mispricing," NBER Working Papers 23231, National Bureau of Economic Research, Inc.
- Duffie, Darrell & Scheicher, Martin & Vuillemey, Guillaume, 2015.
"Central clearing and collateral demand,"
Journal of Financial Economics, Elsevier, vol. 116(2), pages 237-256.
See citations under working paper version above.
- Scheicher, Martin & Vuillemey, Guillaume & Duffie, Darrell, 2014. "Central clearing and collateral demand," Working Paper Series 1638, European Central Bank.
- Darrell Duffie & Martin Schneicher & Guillaume Vuillemey, 2014. "Central Clearing and Collateral Demand," Economics Working Papers 14104, Hoover Institution, Stanford University.
- Darrell Duffie & Martin Scheicher & Guillaume Vuillemey, 2014. "Central Clearing and Collateral Demand," NBER Working Papers 19890, National Bureau of Economic Research, Inc.
- Darrell Duffie, 2014.
"Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs,"
The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 173-182.
See citations under working paper version above.
- Darrell Duffie, 2014. "Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs," Economics Working Papers 14106, Hoover Institution, Stanford University.
- Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2014.
"Information percolation in segmented markets,"
Journal of Economic Theory, Elsevier, vol. 153(C), pages 1-32.
See citations under working paper version above.
- Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO, 2010. "Information Percolation in Segmented Markets," Swiss Finance Institute Research Paper Series 10-09, Swiss Finance Institute.
- Darrell Duffie & Semyon Malamud & Gustavo Manso, 2011. "Information Percolation in Segmented Markets," NBER Working Papers 17295, National Bureau of Economic Research, Inc.
- Martin N. Baily & John Y. Campbell & John H. Cochrane & Douglas W. Diamond & Darrell Duffie & Kenneth R. French & Anil K. Kashyap & Frederic S. Mishkin & Raghuram Rajan & David S. Scharfstein & Robert, 2013.
"Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group,"
Journal of Applied Corporate Finance, Morgan Stanley, vol. 25(4), pages 37-40, December.
Cited by:
- Hilscher, Jens & Raviv, Alon, 2014.
"Bank stability and market discipline: The effect of contingent capital on risk taking and default probability,"
Journal of Corporate Finance, Elsevier, vol. 29(C), pages 542-560.
- Jens Hilscher & Alon Raviv, 2012. "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Working Papers 53, Brandeis University, Department of Economics and International Business School, revised Jan 2014.
- Guglielmo Maria Caporale & Woo-Young Kang, 2019.
"On the preferences of CoCo bond buyers and sellers,"
CESifo Working Paper Series
7551, CESifo.
- Caporale, Guglielmo Maria & Kang, Woo-Young, 2021. "On the preferences of CoCo bond buyers and sellers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- Viral V. Acharya & Hamid Mehran & Rangarajan K. Sundaram, 2016. "Cash holdings and bank compensation," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 77-83.
- Joseph P. Hughes, 2017. "Capital Regulation: Less Really Can Be More When Incentives Are Socially Aligned," Departmental Working Papers 201704, Rutgers University, Department of Economics.
- Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.
- Hilscher, Jens & Raviv, Alon, 2014.
"Bank stability and market discipline: The effect of contingent capital on risk taking and default probability,"
Journal of Corporate Finance, Elsevier, vol. 29(C), pages 542-560.
- Darrell Duffie, 2013.
"Replumbing Our Financial System: Uneven Progress,"
International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 251-280, January.
Cited by:
- Colliard , Jean-Edouard & Perignon , Christophe, 2015.
"Where the Risks Lie: A Survey on Systemic Risk,"
HEC Research Papers Series
1088, HEC Paris.
- Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Review of Finance, European Finance Association, vol. 21(1), pages 109-152.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Post-Print hal-01498631, HAL.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers hal-02011395, HAL.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers halshs-01142014, HAL.
- Albuquerque, Rui & Costa, José & Faias, Jose, 2022.
"Price elasticity of demand and risk-bearing capacity in sovereign bond auctions,"
CEPR Discussion Papers
17095, C.E.P.R. Discussion Papers.
- José Miguel Cardoso da Costa & Rui Albuquerque, 2023. "Price elasticity of demand and risk-bearing capacity in sovereign bond auctions," Working Papers w202302, Banco de Portugal, Economics and Research Department.
- King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013.
"The market microstructure approach to foreign exchange: Looking back and looking forward,"
Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
- Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
- Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
- Li, Xiongshi & Ye, Mao & Zheng, Miles, 2024. "Price ceilings, market structure, and payout policies," Journal of Financial Economics, Elsevier, vol. 155(C).
- Cruz Lopez, Jorge A. & Harris, Jeffrey H. & Hurlin, Christophe & Pérignon, Christophe, 2017.
"CoMargin,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2183-2215, October.
- Jorge A. Cruz Lopez & Jeffrey H. Harris & Christophe Hurlin & Christophe Pérignon, 2015. "CoMargin," Working Papers halshs-00979440, HAL.
- Jorge Cruz Lopez & Jeffrey Harris & Christophe Hurlin & Christophe Pérignon, 2017. "CoMargin," Post-Print hal-03579309, HAL.
- Miguel Fernandes & Mario Pascoa, 2024. "Repo, Sponsored Repo and Macro-prudential Regulation," School of Economics Discussion Papers 0224, School of Economics, University of Surrey.
- Allen, Franklin & Vayanos, Dimitri & Vives, Xavier, 2014. "Introduction to financial economics," Journal of Economic Theory, Elsevier, vol. 149(C), pages 1-14.
- Dr. Lucas Marc Fuhrer & Dr. Basil Guggenheim & Dr. Silvio Schumacher, 2015.
"Re-use of collateral in the repo market,"
Working Papers
2015-02, Swiss National Bank.
- Lucas Marc Fuhrer & Basil Guggenheim & Silvio Schumacher, 2016. "Re‐Use of Collateral in the Repo Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1169-1193, September.
- Infante, Sebastian, 2019. "Liquidity windfalls: The consequences of repo rehypothecation," Journal of Financial Economics, Elsevier, vol. 133(1), pages 42-63.
- Buschmann, Christian & Schmaltz, Christian, 2017. "Sovereign collateral as a Trojan Horse: Why do we need an LCR+," Journal of Financial Stability, Elsevier, vol. 33(C), pages 311-330.
- Colliard , Jean-Edouard & Perignon , Christophe, 2015.
"Where the Risks Lie: A Survey on Systemic Risk,"
HEC Research Papers Series
1088, HEC Paris.
- Darrell Duffie & Bruno Strulovici, 2012.
"Capital Mobility and Asset Pricing,"
Econometrica, Econometric Society, vol. 80(6), pages 2469-2509, November.
See citations under working paper version above.
- Darrell Duffie & Bruno Strulovici, 2011. "Capital Mobility and Asset Pricing," NBER Working Papers 17296, National Bureau of Economic Research, Inc.
- Bruno Strulovici & Darrell Duffie, 2009. "Capital Mobility and Asset Pricing," 2009 Meeting Papers 87, Society for Economic Dynamics.
- Darrell Duffie & Bruno Strulovici, 2009. "Capital Mobility and Asset Pricing," Discussion Papers 1478, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Duffie, Darrell & Sun, Yeneng, 2012.
"The exact law of large numbers for independent random matching,"
Journal of Economic Theory, Elsevier, vol. 147(3), pages 1105-1139.
See citations under working paper version above.
- Darrell Duffie & Yeneng Sun, 2011. "The Exact Law of Large Numbers for Independent Random Matching," NBER Working Papers 17280, National Bureau of Economic Research, Inc.
- Adam Copeland & Darrell Duffie & Antoine Martin & Susan McLaughlin, 2012.
"Explaining the U.S. tri-party repo market,"
Economic Policy Review, Federal Reserve Bank of New York, vol. 18(Nov), pages 17-28.
Cited by:
- Song Han & Kleopatra Nikolaou, 2016. "Trading Relationships in the OTC Market for Secured Claims : Evidence from Triparty Repos," Finance and Economics Discussion Series 2016-064, Board of Governors of the Federal Reserve System (U.S.).
- Darrell Duffie & Haoxiang Zhu, 2011.
"Does a Central Clearing Counterparty Reduce Counterparty Risk?,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 1(1), pages 74-95.
Cited by:
- Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2019.
"Simulating liquidity stress in the derivatives market,"
Bank of England working papers
838, Bank of England.
- Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2021. "Simulating liquidity stress in the derivatives market," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Boissel, Charles & Derrien, François & Örs, Evren & Thesmar, David, 2016.
"Systemic risk in clearing houses: Evidence from the European repo market,"
ESRB Working Paper Series
10, European Systemic Risk Board.
- Thesmar, David & Ors, Evren & Derrien, Francois & Boissel, Charles, 2015. "Systemic Risk in Clearing Houses: Evidence from the European Repo Market," HEC Research Papers Series 1112, HEC Paris.
- Boissel, Charles & Derrien, François & Ors, Evren & Thesmar, David, 2017. "Systemic risk in clearing houses: Evidence from the European repo market," Journal of Financial Economics, Elsevier, vol. 125(3), pages 511-536.
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NBER Working Papers
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"Common Failings: How Corporate Defaults Are Correlated,"
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See citations under working paper version above.
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Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November.
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See citations under working paper version above.- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc.
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"Credit risk modeling with affine processes,"
Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
Cited by:
- Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
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"Are interest rate options important for the assessment of interest rate risk?,"
Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1376-1387, August.
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"Pricing default events: Surprise, exogeneity and contagion,"
Journal of Econometrics, Elsevier, vol. 182(2), pages 397-411.
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- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
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"Hedging longevity risk in defined contribution pension schemes,"
Papers
1904.10229, arXiv.org, revised May 2020.
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"Firm heterogeneity and credit risk diversification,"
Journal of Empirical Finance, Elsevier, vol. 15(4), pages 583-612, September.
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"Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion,"
Working Papers
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Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 1-31, March.
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Rue de la Banque, Banque de France, issue 52, november.
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Finance and Stochastics, Springer, vol. 8(1), pages 3-16, January.
See citations under working paper version above.
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"Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals,"
Econometrica, Econometric Society, vol. 72(6), pages 1773-1808, November.
Cited by:
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"Nonlinearity and Temporal Dependence,"
Working Papers
48, Yale University, Department of Economics.
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- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652R, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," CIRANO Working Papers 2009s-17, CIRANO.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation for Research in Economics, Yale University.
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- Anne Philippe & Caroline Robet & Marie-Claude Viano, 2021. "Random discretization of stationary continuous time processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(3), pages 375-400, April.
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"A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions,"
Cowles Foundation Discussion Papers
1522, Cowles Foundation for Research in Economics, Yale University.
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- Liron Ravner, 2022. "Queue input estimation from discrete workload observations," Queueing Systems: Theory and Applications, Springer, vol. 100(3), pages 541-543, April.
- Erik Lindström, 2007. "Estimating parameters in diffusion processes using an approximate maximum likelihood approach," Annals of Operations Research, Springer, vol. 151(1), pages 269-288, April.
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- Azam Asanjarani & Yoni Nazarathy & Peter Taylor, 2021. "A survey of parameter and state estimation in queues," Queueing Systems: Theory and Applications, Springer, vol. 97(1), pages 39-80, February.
- Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2008.
"Nonlinearity and Temporal Dependence,"
Working Papers
48, Yale University, Department of Economics.
- Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2003.
"Market Pricing of Deposit Insurance,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 93-119, October.
- Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2008. "Market Pricing of Deposit Insurance," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 22, pages 551-577, World Scientific Publishing Co. Pte. Ltd..
Cited by:
- Sara Maccaferri & Jessica Cariboni & Wim Schoutens, 2013. "Levy Processes and the Financial Crisis: Can We Design a More Effective Deposit Protection?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(1), pages 5-28, January.
- Stojanovic, Dusan & Vaughan, Mark D. & Yeager, Timothy J., 2008. "Do Federal Home Loan Bank membership and advances increase bank risk-taking?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 680-698, May.
- Hangsuck Lee & Seongjoo Song & Gaeun Lee, 2023. "Insurance guaranty premiums and exchange options," Mathematics and Financial Economics, Springer, volume 17, number 3, December.
- Fernández-Aguado, Pilar Gómez & Martínez, Eduardo Trigo & Ruíz, Rafael Moreno & Ureña, Antonio Partal, 2022. "Evaluation of European Deposit Insurance Scheme funding based on risk analysis," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 234-247.
- Esa Jokivuolle & George Pennacchi, 2019. "Designing a Multinational Deposit Insurance System: Implications for the European Deposit Insurance Scheme," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 17(01), pages 21-25, May.
- Stefan Nagel & Amiyatosh Purnanandam, 2020.
"Banks’ Risk Dynamics and Distance to Default,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2421-2467.
- Stefan Nagel & Amiyatosh Purnanandam, 2019. "Bank risk dynamics and distance to default," CESifo Working Paper Series 7637, CESifo.
- Stefan Nagel & Amiyatosh Purnanandam, 2019. "Bank Risk Dynamics and Distance to Default," NBER Working Papers 25807, National Bureau of Economic Research, Inc.
- Nagel, Stefan & Purnanandam, Amiyatosh, 2019. "Bank Risk Dynamics and Distance to Default," CEPR Discussion Papers 13715, C.E.P.R. Discussion Papers.
- R. Jarrow & A. Purnanandam, 2007. "The valuation of a firm’s investment opportunities: a reduced form credit risk perspective," Review of Derivatives Research, Springer, vol. 10(1), pages 39-58, January.
- Chiang, Shu Ling & Tsai, Ming Shann, 2020. "The valuation of deposit insurance allowing for the interest rate spread and early-bankruptcy risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 345-356.
- Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean‐Guy Simonato, 2010.
"Default Risk in Corporate Yield Spreads,"
Financial Management, Financial Management Association International, vol. 39(2), pages 707-731, June.
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- Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005. "Default Risk in Corporate Yield Spreads," Cahiers de recherche 0532, CIRPEE.
- Jones, Kenneth D. & Oshinsky, Robert C., 2009. "The effect of industry consolidation and deposit insurance reform on the resiliency of the U.S. bank insurance fund," Journal of Financial Stability, Elsevier, vol. 5(1), pages 57-88, January.
- Riccardo Lisa & Stefano Zedda & Francesco Vallascas & Francesca Campolongo & Massimo Marchesi, 2011. "Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework," Journal of Financial Services Research, Springer;Western Finance Association, vol. 40(3), pages 123-141, December.
- Papageorgiou, Stylianos, 2022. "Bank levy and household risk-aversion," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Michael Falkenheim & George Pennacchi, 2003. "The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 121-148, October.
- Thomas L. Hogan & William J. Luther, 2016.
"The Implicit Costs of Government Deposit Insurance,"
Journal of Private Enterprise, The Association of Private Enterprise Education, vol. 31(Summer 20), pages 1-13.
- Thomas L. Hogan & William J. Luther, 2014. "The Explicit Costs of Government Deposit Insurance," Cato Journal, Cato Journal, Cato Institute, vol. 34(1), pages 145-170, Winter.
- Leonardo Gambacorta & Giacomo Ricotti & Suresh Sundaresan & Zhenyu Wang, 2017.
"The effects of tax on bank liability structure,"
Temi di discussione (Economic working papers)
1101, Bank of Italy, Economic Research and International Relations Area.
- Gambacorta, Leonardo & Sundaresan, Suresh & Ricotti, Giacomo & Wang, Zhenyu, 2017. "The effects of tax on bank liability structure," CEPR Discussion Papers 11893, C.E.P.R. Discussion Papers.
- Leonardo Gambacorta & Giacomo Ricotti & Suresh Sundaresan & Zhenyu Wang, 2017. "The effects of tax on bank liability structure," BIS Working Papers 611, Bank for International Settlements.
- Dilip Madan & George Pennacchi, 2003. "Introduction: Special Issue on Pricing the Risks of Deposit Insurance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 89-92, October.
- Rosalind L. Bennett & Mark D. Vaughan & Timothy J. Yeager, 2005.
"Should the FDIC worry about the FHLB? the impact of Federal Home Loan Bank advances on the Bank Insurance Fund,"
Supervisory Policy Analysis Working Papers
2005-01, Federal Reserve Bank of St. Louis.
- Rosalind L. Bennett & Mark D. Vaughan & Timothy J. Yeager, 2005. "Should the FDIC worry about the FHLB? The impact of Federal Home Loan Bank advances on the Bank Insurance Fund," Working Paper 05-05, Federal Reserve Bank of Richmond.
- Pennacchi, George, 2006. "Deposit insurance, bank regulation, and financial system risks," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 1-30, January.
- International Association of Deposit Insurers, 2020. "Evaluation of Differential Premium Systems for Deposit Insurance," IADI Research Papers 20-06, International Association of Deposit Insurers.
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- Sabah, Nasim & Hassan, M. Kabir, 2019. "Pricing of Islamic deposit insurance," Economics Letters, Elsevier, vol. 178(C), pages 91-94.
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- Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 1-16, October.
- Chuang‐Chang Chang & San‐Lin Chung & Ruey‐Jenn Ho & Yu‐Jen Hsiao, 2022. "Revisiting the valuation of deposit insurance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 77-103, January.
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- Pennacchi, George G., 2005. "Risk-based capital standards, deposit insurance, and procyclicality," Journal of Financial Intermediation, Elsevier, vol. 14(4), pages 432-465, October.
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- Darrell Duffie & Lasse Heje Pedersen & Kenneth J. Singleton, 2003.
"Modeling Sovereign Yield Spreads: A Case Study of Russian Debt,"
Journal of Finance, American Finance Association, vol. 58(1), pages 119-159, February.
Cited by:
- Peter C.B. Phillips & Jun Yu, 2007.
"Simulation-based Estimation of Contingent-claims Prices,"
Cowles Foundation Discussion Papers
1596, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Jun Yu, 2009. "Simulation-Based Estimation of Contingent-Claims Prices," The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
- Peter C.B.Phillips & Jun Yu, "undated". "Simulation-based Estimation of Contingent Claims Prices," Working Papers CoFie-05-2008, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Peter C. B. Phillips & Jun Yu, 2008. "Simulation-based Estimation of Contingent-claims Prices," Finance Working Papers 22473, East Asian Bureau of Economic Research.
- Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010.
"Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle,"
NBER Working Papers
16358, National Bureau of Economic Research, Inc.
- Hanno Lustig, 2011. "Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle," 2011 Meeting Papers 1443, Society for Economic Dynamics.
- Bouri, Elie & Shahzad, Syed Jawad Hussain & Raza, Naveed & Roubaud, David, 2018. "Oil volatility and sovereign risk of BRICS," Energy Economics, Elsevier, vol. 70(C), pages 258-269.
- Ehrmann, Michael & D'Agostino, Antonello, 2013.
"The pricing of G7 sovereign bond spreads: the times, they are a-changin,"
Working Paper Series
1520, European Central Bank.
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CFS Working Paper Series
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"Investment, consumption, and hedging under incomplete markets,"
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"Household Finance: An Emerging Field,"
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"Investment Optimization under Constraints,"
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"Optimal Asset Allocation for Commodity Sovereign Wealth Funds,"
CREATES Research Papers
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"Precautionary Saving And Portfolio Allocation: Dp By Gmm,"
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"Strategic Technology Adoption and Hedging under Incomplete Markets,"
Swiss Finance Institute Research Paper Series
14-73, Swiss Finance Institute, revised Jan 2015.
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"Mutual fund theorems when minimizing the probability of lifetime ruin,"
Finance Research Letters, Elsevier, vol. 5(2), pages 69-78, June.
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"A Unified Model of Entrepreneurship Dynamics,"
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"Measuring Limits Of Arbitrage In Fixed‐Income Markets,"
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"Central Bank Collateral Frameworks,"
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"Supply and Demand Shifts in the Shorting Market,"
Journal of Finance, American Finance Association, vol. 62(5), pages 2061-2096, October.
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"Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs,"
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Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 443-492, August.
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halshs-00426441, HAL.
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Chapters
- Darrell Duffie, 2015.
"Resolution of Failing Central Counterparties,"
Book Chapters, in: Kenneth E. Scott & Thomas H. Jackson & John B. Taylor (ed.), Making Failure Feasible, chapter 4,
Hoover Institution, Stanford University.
Cited by:
- Boissel, Charles & Derrien, François & Örs, Evren & Thesmar, David, 2016.
"Systemic risk in clearing houses: Evidence from the European repo market,"
ESRB Working Paper Series
10, European Systemic Risk Board.
- Thesmar, David & Ors, Evren & Derrien, Francois & Boissel, Charles, 2015. "Systemic Risk in Clearing Houses: Evidence from the European Repo Market," HEC Research Papers Series 1112, HEC Paris.
- Boissel, Charles & Derrien, François & Ors, Evren & Thesmar, David, 2017. "Systemic risk in clearing houses: Evidence from the European repo market," Journal of Financial Economics, Elsevier, vol. 125(3), pages 511-536.
- Vuillemey, Guillaume, 2023. "Mitigating fire sales with a central clearing counterparty," Journal of Financial Intermediation, Elsevier, vol. 55(C).
- Mark Paddrik & Simpson Zhang, 2020.
"Central Counterparty Default Waterfalls and Systemic Loss,"
Working Papers
20-04, Office of Financial Research, US Department of the Treasury.
- Mark Paddrik & Simpson Zhang, 2019. "Central Counterparty Default Waterfalls and Systemic Loss," 2019 Meeting Papers 213, Society for Economic Dynamics.
- González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).
- Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2024.
"Loss Sharing in Central Clearinghouses: Winners and Losers,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 237-273.
- Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021. "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series 066, University of Bonn and University of Cologne, Germany.
- Kubitza, Christian & Pelizzon, Loriana & Sherman, Mila Getmansky, 2023. "Loss sharing in central clearinghouses: winners and losers," Working Paper Series 2873, European Central Bank.
- Vuillemey, Guillaume & Bignon, Vincent, 2016.
"The Failure of a Clearinghouse: Empirical Evidence,"
CEPR Discussion Papers
11630, C.E.P.R. Discussion Papers.
- V. Bignon & G. Vuillemey, 2017. "The Failure of a Clearinghouse:Empirical Evidence," Working papers 638, Banque de France.
- Vincent Bignon & Guillaume Vuillemey, 2020. "The Failure of a Clearinghouse: Empirical Evidence [Counterparty risk externality: centralized versus over-the-counter markets]," Review of Finance, European Finance Association, vol. 24(1), pages 99-128.
- White, Lucy & Walther, Ansgar, 2019. "Rules versus Discretion in Bank Resolution," CEPR Discussion Papers 14048, C.E.P.R. Discussion Papers.
- Amini, Hamed & Bichuch, Maxim & Feinstein, Zachary, 2023. "Decentralized payment clearing using blockchain and optimal bidding," European Journal of Operational Research, Elsevier, vol. 309(1), pages 409-420.
- Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.
- Kubitza, Christian & Pelizzon, Loriana & Getmansky Sherman, Mila, 2019.
"Pitfalls of central clearing in the presence of systematic risk,"
SAFE Working Paper Series
235, Leibniz Institute for Financial Research SAFE, revised 2019.
- Kubitza, Christian & Pelizzon, Loriana & Getmansky, Mila, 2018. "The pitfalls of central clearing in the presence of systematic risk," ICIR Working Paper Series 31/18, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Friesz, Melinda, 2020. "The Financial System’s Resilience is Everything, But at what Cost?," Public Finance Quarterly, Corvinus University of Budapest, vol. 65(4), pages 472-484.
- Richard B. Berner & Stephen G. Cecchetti & Kermit L. Schoenholtz, 2019.
"Stress Testing Networks: The Case of Central Counterparties,"
NBER Working Papers
25686, National Bureau of Economic Research, Inc.
- Cecchetti, Stephen & Berner, Richard & Schoenholtz, Kermit L., 2019. "Stress Testing Networks: The Case of Central Counterparties," CEPR Discussion Papers 13604, C.E.P.R. Discussion Papers.
- Boissel, Charles & Derrien, François & Örs, Evren & Thesmar, David, 2016.
"Systemic risk in clearing houses: Evidence from the European repo market,"
ESRB Working Paper Series
10, European Systemic Risk Board.
- Darrell Duffie, 2014.
"Financial Market Infrastructure: Too Important to Fail,"
Book Chapters, in: Martin Neil Baily & John B. Taylor (ed.), Across the Great Divide: New Perspectives on the Financial Crisis, chapter 11,
Hoover Institution, Stanford University.
See citations under working paper version above.
- Darrell Duffie, 2014. "Financial Market Infrastructure: Too Important to Fail," Economics Working Papers 14101, Hoover Institution, Stanford University.
- Darrell Duffie, 2013.
"Systemic Risk Exposures: A 10-by-10-by-10 Approach,"
NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 47-56,
National Bureau of Economic Research, Inc.
See citations under working paper version above.
- Darrell Duffie, 2011. "Systemic Risk Exposures: A 10-by-10-by-10 Approach," NBER Working Papers 17281, National Bureau of Economic Research, Inc.
- Darrell Duffie & David A. Skeel, 2012.
"A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements,"
Book Chapters, in: Kenneth E. Scott & John B. Taylor (ed.), Bankruptcy Not Bailout, chapter 5,
Hoover Institution, Stanford University.
Cited by:
- Mr. Manmohan Singh, 2012. "Puts in the Shadow," IMF Working Papers 2012/229, International Monetary Fund.
- Darrell Duffie, 2018. "Financial Regulatory Reform After the Crisis: An Assessment," Management Science, INFORMS, vol. 64(10), pages 4835-4857, October.
- Brian Begalle & Antoine Martin & James J. McAndrews & Susan McLaughlin, 2013.
"The risk of fire sales in the tri-party repo market,"
Staff Reports
616, Federal Reserve Bank of New York.
- Brian Begalle & Antoine Martin & James McAndrews & Susan McLaughlin, 2016. "The Risk Of Fire Sales In The Tri-Party Repo Market," Contemporary Economic Policy, Western Economic Association International, vol. 34(3), pages 513-530, July.
- Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2015.
"Safe, or not safe? Covered bonds and Bank Fragility,"
VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy
112875, Verein für Socialpolitik / German Economic Association.
- Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2016. "Asset encumbrance, bank funding and financial fragility," Discussion Papers 17/2016, Deutsche Bundesbank.
- Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2016. "Asset Encumbrance, Bank Funding, and Financial Fragility," VfS Annual Conference 2016 (Augsburg): Demographic Change 145782, Verein für Socialpolitik / German Economic Association.
- Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2017. "Asset encumbrance, bank funding and fragility," ESRB Working Paper Series 52, European Systemic Risk Board.
- Toni Ahnert & Kartik Anand & Prasanna Gai & James Chapman, 2016. "Asset Encumbrance, Bank Funding and Financial Fragility," Staff Working Papers 16-16, Bank of Canada.
- José Alonso Olmedo & Rebeca Anguren Martín & María Gamoneda Roca & Pablo Pérez Rodríguez, 2021. "Archegos and Greensill: collapse, reactions and common features," Financial Stability Review, Banco de España, issue Autumn.
- Gaetano Antinolfi & Francesca Carapella & Charles M. Kahn & Antoine Martin & David C. Mills & Ed Nosal, 2012.
"Repos, fire sales, and bankruptcy policy,"
Working Paper Series
WP-2012-15, Federal Reserve Bank of Chicago.
- Gaetano Antinolfi & Francesca Carapella & Charles Kahn & Antoine Martin & David Mills & Ed Nosal, 2015. "Repos, Fire Sales, and Bankruptcy Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(1), pages 21-31, January.
- Ghamami, Samim & Glasserman, Paul & Young, Hobart, 2022. "Collateralized networks," LSE Research Online Documents on Economics 107496, London School of Economics and Political Science, LSE Library.
- Claessens, Stijn, 2017. "Regulation and structural change in financial systems," CEPR Discussion Papers 11822, C.E.P.R. Discussion Papers.
- Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers Main tel-03507099, HAL.
- Sabrina Pellerin & Steven Sabol & John R. Walter, 2013. "mREITs and their risks," Working Paper 13-19, Federal Reserve Bank of Richmond.
- Samim Ghamami & Paul Glasserman & H. Peyton Young, 2022. "Collateralized Networks," Management Science, INFORMS, vol. 68(3), pages 2202-2225, March.
- Toni Ahnert & Kartik Anand & Prasanna Gai & James Chapman & Philip StrahanEditor, 2019.
"Asset Encumbrance, Bank Funding, and Fragility,"
The Review of Financial Studies, Society for Financial Studies, vol. 32(6), pages 2422-2455.
- Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2017. "Asset encumbrance, bank funding and fragility," ESRB Working Paper Series 52, European Systemic Risk Board.
- Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2018. "Asset encumbrance, bank funding and fragility," LSE Research Online Documents on Economics 118919, London School of Economics and Political Science, LSE Library.
- Renee Courtois Haltom & Jeffrey M. Lacker, 2015.
"Should the Fed Have a Financial Stability Mandate? Lessons from the Fed's First 100 Years,"
Economic Quarterly, Federal Reserve Bank of Richmond, issue 1Q, pages 49-75.
- Renee Courtois Haltom & Jeffrey M. Lacker, 2013. "Should the Fed Have a Financial Stability Mandate? Lessons from the Fed's first 100 Years," Annual Report, Federal Reserve Bank of Richmond, pages 5-25.
- Bernd Schwaab, 2013. "Discussion of Bank Funding and Financial Stability," RBA Annual Conference Volume (Discontinued), in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.),Liquidity and Funding Markets, Reserve Bank of Australia.
- Pacces Alessio M, 2017. "The Role of the Future in Law and Finance," Journal des Economistes et des Etudes Humaines, De Gruyter, vol. 23(2), pages 1-14, December.
- Schneorson, Oren, 2022. "Interbank credit exposures and financial stability," ESRB Working Paper Series 136, European Systemic Risk Board.
- Lewis, Brittany Almquist, 2023. "Creditor rights, collateral reuse, and credit supply," Journal of Financial Economics, Elsevier, vol. 149(3), pages 451-472.
- Adam Copeland & Darrell Duffie & Antoine Martin & Susan McLaughlin, 2012. "Explaining the U.S. tri-party repo market," Economic Policy Review, Federal Reserve Bank of New York, vol. 18(Nov), pages 17-28.
- Golec, Pascal & Perotti, Enrico, 2017. "Safe assets: a review," Working Paper Series 2035, European Central Bank.
- Darrell Duffie, 2012.
"Over-The-Counter Markets,"
Introductory Chapters, in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets,
Princeton University Press.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005. "Over-the-Counter Markets," Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November.
See citations under working paper version above.- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc.
- Darrell Duffie, 2010.
"A Contractual Approach to Restructuring Financial Institutions,"
Book Chapters, in: Kenneth E. Scott & George P. Shultz & John B. Taylor (ed.), Ending Government Bailouts As We Know Them, chapter 6,
Hoover Institution, Stanford University.
Cited by:
- Viral V. Acharya & Hamid Mehran & Anjan V. Thakor, 2016.
"Caught between Scylla and Charybdis? Regulating Bank Leverage When There Is Rent Seeking and Risk Shifting,"
The Review of Corporate Finance Studies, Society for Financial Studies, vol. 5(1), pages 36-75.
- Thakor, Anjan & Acharya, Viral & Mehran, Hamid, 2012. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent-seeking and risk-shifting," CEPR Discussion Papers 8822, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Hamid Mehran & Anjan V. Thakor, 2010. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting," Working Papers (Old Series) 1024, Federal Reserve Bank of Cleveland.
- Viral V. Acharya & Hamid Mehran & Anjan V. Thakor, 2010. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting," Staff Reports 469, Federal Reserve Bank of New York.
- Christian Wolff & Theo Vermaelen & George Pennacchi, 2010.
"Contingent Capital: The Case for COERCs,"
LSF Research Working Paper Series
10-08, Luxembourg School of Finance, University of Luxembourg.
- Wolff, Christian & Pennacch, George G., 2010. "Contingent Capital: The Case for COERCs," CEPR Discussion Papers 8028, C.E.P.R. Discussion Papers.
- Pennacchi, George & Vermaelen, Theo & Wolff, Christian C. P., 2014. "Contingent Capital: The Case of COERCs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 541-574, June.
- Berg, Tobias & Kaserer, Christoph, 2015.
"Does contingent capital induce excessive risk-taking?,"
Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 356-385.
- Berg, Tobias & Kaserer, Christoph, 2015. "Does contingent capital induce excessive risk-taking?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 488, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Viral V. Acharya & Hamid Mehran & Anjan V. Thakor, 2016.
"Caught between Scylla and Charybdis? Regulating Bank Leverage When There Is Rent Seeking and Risk Shifting,"
The Review of Corporate Finance Studies, Society for Financial Studies, vol. 5(1), pages 36-75.
- Darrell Duffie, 2009.
"Policy Issues Facing the Market for Credit Derivatives,"
Book Chapters, in: John D. Ciorciari & John Taylor (ed.), The Road Ahead for the Fed, chapter 8,
Hoover Institution, Stanford University.
Cited by:
- Ilhyock Shim & Haibin Zhu, 2010.
"The impact of CDS trading on the bond market: evidence from Asia,"
BIS Working Papers
332, Bank for International Settlements.
- Shim, Ilhyock & Zhu, Haibin, 2014. "The impact of CDS trading on the bond market: Evidence from Asia," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 460-475.
- Mr. John Kiff & Ms. Jennifer A. Elliott & Mr. Elias G. Kazarian & Ms. Jodi G Scarlata & Carolyne Spackman, 2009. "Credit Derivatives: Systemic Risks and Policy Options?," IMF Working Papers 2009/254, International Monetary Fund.
- Ilhyock Shim & Haibin Zhu, 2010.
"The impact of CDS trading on the bond market: evidence from Asia,"
BIS Working Papers
332, Bank for International Settlements.
- Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2008.
"Market Pricing of Deposit Insurance,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 22, pages 551-577,
World Scientific Publishing Co. Pte. Ltd..
See citations under working paper version above.
- Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2003. "Market Pricing of Deposit Insurance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 93-119, October.
- Darrell Duffie & Chi-Fu Huang, 2005.
"Implementing Arrow-Debreu Equilibria By Continuous Trading Of Few Long-Lived Securities,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 4, pages 97-127,
World Scientific Publishing Co. Pte. Ltd..
See citations under working paper version above.
- Duffie, J Darrell & Huang, Chi-fu, 1985. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities," Econometrica, Econometric Society, vol. 53(6), pages 1337-1356, November.
- Duffie, Darrell, 2003.
"Intertemporal asset pricing theory,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742,
Elsevier.
Cited by:
- Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009.
"CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence,"
NBER Working Papers
14889, National Bureau of Economic Research, Inc.
- Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
- Robert Chambers & John Quiggin, 2010. "Cost minimization and the stochastic discount factor," Annals of Operations Research, Springer, vol. 176(1), pages 349-368, April.
- Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009.
"CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence,"
NBER Working Papers
14889, National Bureau of Economic Research, Inc.
- Duffie, Darrell, 1991.
"The theory of value in security markets,"
Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 31, pages 1615-1682,
Elsevier.
Cited by:
- Borglin, Anders & Flåm, Sjur Didrik, 2007.
"Risk exchange as a market or production game,"
Working Papers in Economics
09/07, University of Bergen, Department of Economics.
- Borglin, Anders & Flåm, Sjur, 2007. "Risk Exchange as a Market or Production Game," Working Papers 2007:16, Lund University, Department of Economics.
- Didrik Flåm, Sjur, 2012. "Coupled projects, core imputations, and the CAPM," Journal of Mathematical Economics, Elsevier, vol. 48(3), pages 170-176.
- Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(3), pages 447-471, June.
- Foldes, Lucien, 2000. "Valuation and martingale properties of shadow prices: An exposition," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1641-1701, October.
- Takaki Hayashi & Yuta Koike, 2016. "Wavelet-based methods for high-frequency lead-lag analysis," Papers 1612.01232, arXiv.org, revised Nov 2018.
- Borglin, Anders & Flåm, Sjur Didrik, 2007.
"Risk exchange as a market or production game,"
Working Papers in Economics
09/07, University of Bergen, Department of Economics.
- Duffie, Darrell, 1990.
"Money in general equilibrium theory,"
Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 3, pages 81-100,
Elsevier.
Cited by:
- Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
- Neil Wallace, 1998. "A dictum for monetary theory," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 22(Win), pages 20-26.
- Gaël Giraud & Nguenamadji Orntangar, 2011.
"Monetary policy under finite speed of trades and myopia,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00609824, HAL.
- Gaël Giraud & Nguenamadji Orntangar, 2011. "Monetary policy under finite speed of trades and myopia," Post-Print halshs-00609824, HAL.
- Gaël Giraud & Nguenamadji Orntangar, 2011. "Monetary Policy under Finite Speed of Trades and Myopia," Documents de travail du Centre d'Economie de la Sorbonne 11011, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Juan Carlos Pérez-Velasco, 2002. "Influencia de la Tarjetas de Débito sobre la Demanda de Efectivo," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 39(116), pages 51-93.
- A. Jofré & R. T. Rockafellar & R. J-B. Wets, 2017. "General economic equilibrium with financial markets and retainability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 309-345, January.
Books
- Darrell Duffie, 2012.
"Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets,"
Economics Books,
Princeton University Press,
edition 1, number 9623.
Cited by:
- Babus, Ana & Kondor, Peter, 2018.
"Trading and information diffusion in over-the-counter markets,"
LSE Research Online Documents on Economics
118939, London School of Economics and Political Science, LSE Library.
- Peter Kondor & Ana Babus, 2013. "Trading and Information Diffusion in Over-the-Counter Markets," 2013 Meeting Papers 792, Society for Economic Dynamics.
- Ana Babus & Péter Kondor, 2018. "Trading and Information Diffusion in Over‐the‐Counter Markets," Econometrica, Econometric Society, vol. 86(5), pages 1727-1769, September.
- Ana Babus & Péter Kondor, 2012. "Trading and Information Diffusion in Over-the-Counter Markets," CEU Working Papers 2012_19, Department of Economics, Central European University, revised 09 Dec 2012.
- Gara Afonso & Ricardo Lagos, 2015.
"Trade Dynamics in the Market for Federal Funds,"
Econometrica, Econometric Society, vol. 83, pages 263-313, January.
- Gara Afonso & Ricardo Lagos, 2014. "Trade Dynamics in the Market for Federal Funds," NBER Working Papers 20419, National Bureau of Economic Research, Inc.
- Gara M. dup Afonso & Ricardo Lagos, 2014. "Trade Dynamics in the Market for Federal Funds," Working Papers 710, Federal Reserve Bank of Minneapolis.
- Gara M. dup Afonso & Ricardo Lagos, 2012. "Trade dynamics in the market for federal funds," Staff Reports 549, Federal Reserve Bank of New York.
- Ricardo Lagos & Gara Afonso, 2010. "Trade Dynamics in the Market for Federal Funds," 2010 Meeting Papers 424, Society for Economic Dynamics.
- Ricardo Lagos & Gara Afonson, 2011. "Trade Dynamics in the Market for Federal Funds," 2011 Meeting Papers 314, Society for Economic Dynamics.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020.
"Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes,"
GREDEG Working Papers
2020-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020. "Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes," Department of Economics Working Papers 20-04, Stony Brook University, Department of Economics.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020. "Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes," Working Papers 05/2020, University of Verona, Department of Economics.
- Carolyn Sissoko, 2017. "The Plight of Modern Markets: How Universal Banking Undermines Capital Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(1), pages 53-104, February.
- Guillaume Rocheteau & Tai-Wei Hu & Lucie Lebeau & Younghwan In, 2021.
"Gradual Bargaining in Decentralized Asset Markets,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 42, pages 72-109, October.
- Guillaume Rocheteau & Tai-Wei Hu & Lucie Lebeau & Younghwan In, 2020. "Code and data files for "Gradual Bargaining in Decentralized Asset Markets"," Computer Codes 20-33, Review of Economic Dynamics.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2017.
"Discriminatory Pricing of Over-the-Counter Derivatives,"
Swiss Finance Institute Research Paper Series
17-70, Swiss Finance Institute.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory pricing of over-the-counter derivatives," ESRB Working Paper Series 61, European Systemic Risk Board.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021. "Discriminatory Pricing of Over-the-Counter Derivatives," Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
- Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019. "Discriminatory Pricing of Over-the-Counter Derivatives," IMF Working Papers 2019/100, International Monetary Fund.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory Pricing of Over-The-Counter Derivatives," CEPR Discussion Papers 12525, C.E.P.R. Discussion Papers.
- Gino Cenedese & Angelo Ranaldo & Michalis Vasios, 2018.
"OTC Premia,"
Working Papers on Finance
1818, University of St. Gallen, School of Finance, revised May 2019.
- Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2020. "OTC premia," Journal of Financial Economics, Elsevier, vol. 136(1), pages 86-105.
- Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2018. "OTC premia," Bank of England working papers 751, Bank of England.
- Nathan Foley-Fisher & Stefan Gissler & Stephane Verani, 2018.
"Over-the-counter market liquidity and securities lending,"
2018 Meeting Papers
786, Society for Economic Dynamics.
- Nathan Foley-Fisher & Stefan Gissler & Stéphane Verani, 2019. "Over-the-counter market liquidity and securities lending," BIS Working Papers 768, Bank for International Settlements.
- Nathan Foley-Fisher & Stefan Gissler & Stephane Verani, 2019. "Over-the-Counter Market Liquidity and Securities Lending," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 272-294, July.
- Nathan Foley-Fisher & Stefan Gissler & Stéphane Verani, 2019. "Over-the-Counter Market Liquidity and Securities Lending," Finance and Economics Discussion Series 2019-011, Board of Governors of the Federal Reserve System (U.S.).
- Semih Uslu, 2016.
"Pricing and Liquidity in Decentralized Asset Markets,"
2016 Meeting Papers
128, Society for Economic Dynamics.
- Uslu, Semih, 2015. "Pricing and Liquidity in Decentralized Asset Markets," MPRA Paper 73901, University Library of Munich, Germany, revised 21 Sep 2016.
- Semih Üslü, 2019. "Pricing and Liquidity in Decentralized Asset Markets," Econometrica, Econometric Society, vol. 87(6), pages 2079-2140, November.
- Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2014.
"Competing for Order Flow in OTC Markets,"
NBER Working Papers
20608, National Bureau of Economic Research, Inc.
- Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2014. "Competing for order flow in OTC markets," Working Papers 14-9, Federal Reserve Bank of Philadelphia.
- Benjamin Lester & Guillaume Rocheteau & Pierre‐Olivier Weill, 2015. "Competing for Order Flow in OTC Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S2), pages 77-126, June.
- Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2015. "Competing for Order Flow in OTC Markets," Post-Print hal-04149211, HAL.
- Anton Tsoy, 2016. "Liquidity and Prices in Decentralized Markets with Almost Public Information," 2016 Meeting Papers 8, Society for Economic Dynamics.
- Drew D. Creal & Robert B. Gramacy & Ruey S. Tsay, 2014. "Market-Based Credit Ratings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 430-444, July.
- Ferrara, Gerardo & Kim, Jun Sung & Koo, Bonsoo & Liu, Zijun, 2021. "Counterparty choice in the UK credit default swap market: An empirical matching approach," Economic Modelling, Elsevier, vol. 94(C), pages 58-74.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2021.
"Zero‐intelligence versus human agents: An experimental analysis of the efficiency of Double Auctions and Over‐the‐Counter markets of varying sizes,"
Post-Print
hal-03520323, HAL.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2021. "Zero‐intelligence versus human agents: An experimental analysis of the efficiency of Double Auctions and Over‐the‐Counter markets of varying sizes," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 23(5), pages 895-932, October.
- Giuseppe Attanasi & Samuele Centorrino & Ivan Moscati, 2014.
"Over-the-Counter Markets vs Double Auctions: A Comparative Experimental Study,"
Department of Economics Working Papers
14-06, Stony Brook University, Department of Economics.
- Attanasi, Giuseppe & Centorrino, Samuele & Moscati, Ivan, 2016. "Over-the-counter markets vs. double auctions: A comparative experimental study," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 63(C), pages 22-35.
- Alain B'elanger & Gaston Giroux & Miguel Moisan-Poisson, 2013. "Over-the-counter market models with several assets," Papers 1308.2957, arXiv.org.
- Vincent Glode & Christian Opp, 2016. "Asymmetric Information and Intermediation Chains," American Economic Review, American Economic Association, vol. 106(9), pages 2699-2721, September.
- Aleksander Berentsen & Michael McBride & Guillaume Rocheteau, 2013.
"Limelight on dark markets: theory and experimental evidence on liquidity and information,"
ECON - Working Papers
126, Department of Economics - University of Zurich, revised Apr 2015.
- Berentsen, Aleksander & McBride, Michael & Rocheteau, Guillaume, 2017. "Limelight on dark markets: Theory and experimental evidence on liquidity and information," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 70-90.
- Carruthers, Bruce G., 2013. "Diverging derivatives: Law, governance and modern financial markets," Journal of Comparative Economics, Elsevier, vol. 41(2), pages 386-400.
- Gündüz, Yalin & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2021.
"Lighting up the dark: Liquidity in the German corporate bond market,"
Discussion Papers
21/2021, Deutsche Bundesbank.
- Gündüz, Yalin & Ottonello, Giorgio & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2018. "Lighting up the dark: Liquidity in the German corporate bond market," SAFE Working Paper Series 230, Leibniz Institute for Financial Research SAFE.
- Morten Linnemann Bech & Anamaria Illes & Ulf Lewrick & Andreas Schrimpf, 2016. "Hanging up the phone - electronic trading in fixed income markets and its implications," BIS Quarterly Review, Bank for International Settlements, March.
- Fontana, Silvia Dalla & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019.
"The anatomy of the euro area interest rate swap market,"
SAFE Working Paper Series
255, Leibniz Institute for Financial Research SAFE.
- Dalla Fontana, Silvia & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," Working Paper Series 2242, European Central Bank.
- Chen, Fan & Zhong, Zhuo, 2017. "Pre-trade transparency in over-the-counter bond markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 14-33.
- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019.
"OTC discount,"
Discussion Papers
42/2019, Deutsche Bundesbank.
- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
- Halim, Edward & Riyanto, Yohanes E. & Roy, Nilanjan & Wang, Yan, 2022. "The Bright Side of Dark Markets: Experiments," MPRA Paper 111803, University Library of Munich, Germany.
- Song Han & Kleopatra Nikolaou, 2016. "Trading Relationships in the OTC Market for Secured Claims : Evidence from Triparty Repos," Finance and Economics Discussion Series 2016-064, Board of Governors of the Federal Reserve System (U.S.).
- Han, Song & Nikolaou, Kleopatra & Tase, Manjola, 2022. "Trading relationships in secured markets: Evidence from triparty repos," Journal of Banking & Finance, Elsevier, vol. 139(C).
- Gino Cenedese & Pasquale Della Corte & Tianyu Wang, 2021.
"Currency Mispricing and Dealer Balance Sheets,"
Journal of Finance, American Finance Association, vol. 76(6), pages 2763-2803, December.
- Della Corte, Pasquale & Cenedese, Gino & Wang, Tianyu, 2020. "Currency Mispricing and Dealer Balance Sheets," CEPR Discussion Papers 15569, C.E.P.R. Discussion Papers.
- Cenedese, Gino & Della Corte, Pasquale & Wang, Tianyu, 2019. "Currency mispricing and dealer balance sheets," Bank of England working papers 779, Bank of England.
- Joseph, Andreas & Vasios, Michalis & Maizels, Olga & Shreyas, Ujwal & Tanner, John, 2019. "OTC microstructure in a period of stress: a multi‑layered network approach," Bank of England working papers 832, Bank of England.
- Joseph, Andreas & Vasios, Michalis, 2022. "OTC Microstructure in a period of stress: A Multi-layered network approach," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Abad, Jorge & Aldasoro, Iñaki & Aymanns, Christoph & D'Errico, Marco & Hoffmann, Peter & Langfield, Sam & Neychev, Martin & Roukny, Tarik & Rousová, Linda, 2016. "Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset," ESRB Occasional Paper Series 11, European Systemic Risk Board.
- Weber, Matthias & Duffy, John & Schram, Arthur, 2024. "Regulation and the demand for credit default swaps in experimental bond markets," European Economic Review, Elsevier, vol. 165(C).
- Aquilina, Matteo & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2022. "The visible hand: benchmarks, regulation, and liquidity," Journal of Financial Markets, Elsevier, vol. 61(C).
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