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From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers
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Cited by:
- Madhusudan Mohanty & Kumar Rishabh, 2016. "Financial intermediation and monetary policy transmission in EMEs: What has changed post-2008 crisis?," BIS Working Papers 546, Bank for International Settlements.
- Stephen Quinn & William Roberds, 2015.
"Responding to a Shadow Banking Crisis: The Lessons of 1763,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(6), pages 1149-1176, September.
- Stephen F. Quinn & William Roberds, 2012. "Responding to a shadow banking crisis: the lessons of 1763," FRB Atlanta Working Paper 2012-08, Federal Reserve Bank of Atlanta.
- Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
- Frederic S. Mishkin, 2011.
"Over the Cliff: From the Subprime to the Global Financial Crisis,"
Journal of Economic Perspectives, American Economic Association, vol. 25(1), pages 49-70, Winter.
- Frederic S. Mishkin, 2010. "Over The Cliff: From the Subprime to the Global Financial Crisis," NBER Working Papers 16609, National Bureau of Economic Research, Inc.
- Gorton, Gary & Metrick, Andrew, 2012.
"Securitized banking and the run on repo,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 425-451.
- Gary Gorton & Andrew Metrick, 2010. "Securitized Banking and the Run on Repo," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Gary B. Gorton & Andrew Metrick, 2009. "Securitized Banking and the Run on Repo," NBER Working Papers 15223, National Bureau of Economic Research, Inc.
- Gary Gorton & Andrew Metrick, 2009. "Securitized Banking and the Run on Repo," Yale School of Management Working Papers amz2358, Yale School of Management, revised 01 Sep 2009.
- Fiordelisi, Franco & Mare, Davide Salvatore & Molyneux, Philip, 2015. "State-Aid, Stability and Competition in European Banking," MPRA Paper 67473, University Library of Munich, Germany.
- Fukuda, Shin-ichi & Tanaka, Mariko, 2017.
"Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar,"
Journal of International Money and Finance, Elsevier, vol. 74(C), pages 301-317.
- Shin-ichi Fukuda & Mariko Tanaka, 2016. "Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from the Australian Dollar and the NZ Dollar," CIRJE F-Series CIRJE-F-1032, CIRJE, Faculty of Economics, University of Tokyo.
- Shin-ichi Fukuda & Mariko Tanaka, 2016. "Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar," CARF F-Series CARF-F-401, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Mikhail V. Oet & John M. Dooley & Stephen J. Ong, 2015.
"The Financial Stress Index: Identification of Systemic Risk Conditions,"
Risks, MDPI, vol. 3(3), pages 1-25, September.
- Timothy Bianco & Ryan Eiben & Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2011. "The financial stress index: identification of systemic risk conditions," Working Papers (Old Series) 1130, Federal Reserve Bank of Cleveland.
- De Socio, Antonio, 2013.
"The interbank market after the financial turmoil: Squeezing liquidity in a “lemons market” or asking liquidity “on tap”,"
Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1340-1358.
- Antonio De Socio, 2011. "The interbank market after the financial turmoil: squeezing liquidity in a "lemons market" or asking liquidity "on tap"," Temi di discussione (Economic working papers) 819, Bank of Italy, Economic Research and International Relations Area.
- Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia, 2012.
"Market response to policy initiatives during the global financial crisis,"
Journal of International Economics, Elsevier, vol. 87(1), pages 162-177.
- Yacine Aït-Sahalia & Jochen Andritzky & Andreas Jobst & Sylwia Nowak & Natalia Tamirisa, 2010. "Market Response to Policy Initiatives during the Global Financial Crisis," NBER Working Papers 15809, National Bureau of Economic Research, Inc.
- Aizenman, Joshua & Ito, Hiro & Pasricha, Gurnain Kaur, 2022.
"Central bank swap arrangements in the COVID-19 crisis,"
Journal of International Money and Finance, Elsevier, vol. 122(C).
- Joshua Aizenman & Hiro Ito & Gurnain Kaur Pasricha, 2021. "Central Bank Swap Arrangements in the COVID-19 Crisis," NBER Working Papers 28585, National Bureau of Economic Research, Inc.
- Koichiro Kamada & Jouchi Nakajima, 2014.
"On the reliability of Japanese inflation expectations using purchasing power parity,"
Economic Analysis and Policy, Elsevier, vol. 44(3), pages 259-265.
- Koichiro Kamada & Jouchi Nakajima, 2013. "On the Reliability of Japanese Inflation Expectations Using Purchasing Power Parity," Bank of Japan Working Paper Series 13-E-13, Bank of Japan.
- Hiroshi Fujiki, 2013.
"Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard,"
The Japanese Economic Review, Japanese Economic Association, vol. 64(4), pages 504-536, December.
- Hiroshi Fujiki, 2010. "Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard," IMES Discussion Paper Series 10-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
- Shin-ichi Fukuda, 2016.
"Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York,"
International Economic Journal, Taylor & Francis Journals, vol. 30(3), pages 339-359, July.
- Shin-ichi Fukuda, 2016. "Regional Liquidity Risk and Covered Interest Parity during the Global Financial Crisis: Evidence from Tokyo, London, and New York ," CIRJE F-Series CIRJE-F-1017, CIRJE, Faculty of Economics, University of Tokyo.
- Petra Gerlach-Kristen & Richhild Moessner & Rina Rosenblatt-Wisch, 2018.
"Computing Long-Term Market Inflation Expectations for Countries without Inflation Expectation Markets,"
Russian Journal of Money and Finance, Bank of Russia, vol. 77(3), pages 23-48, September.
- Dr. Petra Gerlach & Richhild Moessner & Dr. Rina Rosenblatt-Wisch, 2017. "Computing long‐term market inflation expectations for countries without inflation expectation markets," Working Papers 2017-09, Swiss National Bank.
- Saleem Bahaj & Ricardo Reis, 2022.
"Central Bank Swap Lines: Evidence on the Effects of the Lender of Last Resort,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(4), pages 1654-1693.
- Saleem Bahaj & Ricardo Reis, 2019. "Central Bank Swap Lines: Evidence on the Effects of the Lender of Last Resort," IMES Discussion Paper Series 19-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
- Bahaj, Saleem & Reis, Ricardo, 2022. "Central bank swap lines: evidence on the effects of the lender of last resort," LSE Research Online Documents on Economics 112601, London School of Economics and Political Science, LSE Library.
- Henide, Karim, 2022. "Cross-currency credit spreads: harvesting the idiosyncratic basis as a source of ARP," LSE Research Online Documents on Economics 124686, London School of Economics and Political Science, LSE Library.
- Mark Choi & Linda S. Goldberg & Robert Lerman & Fabiola Ravazzolo, 2021. "COVID Response: The Fed’s Central Bank Swap Lines and FIMA Repo Facility," Staff Reports 983, Federal Reserve Bank of New York.
- William A. Allen & Richhild Moessner, 2013.
"The Liquidity Consequences of the Euro Area Sovereign Debt Crisis,"
World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 14(1), pages 103-126, January.
- William A Allen & Richhild Moessner, 2012. "The liquidity consequences of the euro area sovereign debt crisis," BIS Working Papers 390, Bank for International Settlements.
- Alexis Stenfors, 2019.
"The Covered Interest Parity Puzzle and the Evolution of the Japan Premium,"
Journal of Economic Issues, Taylor & Francis Journals, vol. 53(2), pages 417-424, April.
- Alexis Stenfors, 2018. "The Covered Interest Parity Puzzle and the Evolution of the Japan Premium," Working Papers in Economics & Finance 2018-10, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Fukuda, Shin-ichi, 2012.
"Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London,"
Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3185-3196.
- Shin-ichi Fukuda, 2010. "Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London," CARF F-Series CARF-F-229, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Shin-ichi Fukuda, 2011. "Market-specific and Currency-specific Risk During the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London," NBER Working Papers 16962, National Bureau of Economic Research, Inc.
- Shin-ichi Fukuda, 2010. "Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London," CIRJE F-Series CIRJE-F-759, CIRJE, Faculty of Economics, University of Tokyo.
- Denis Gromb & Dimitri Vayanos, 2018.
"The Dynamics of Financially Constrained Arbitrage,"
Journal of Finance, American Finance Association, vol. 73(4), pages 1713-1750, August.
- Denis Gromb & Dimitri Vayanos, 2015. "The Dynamics of Financially Constrained Arbitrage," NBER Working Papers 20968, National Bureau of Economic Research, Inc.
- Gromb, Denis & Vayanos, Dimitri, 2018. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 84081, London School of Economics and Political Science, LSE Library.
- Gromb, Denis & Vayanos, Dimitri, 2015. "The Dynamics of Financially Constrained Arbitrage," CEPR Discussion Papers 10436, C.E.P.R. Discussion Papers.
- Gromb, Denis & Vayanos, Dimitri, 2015. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 119012, London School of Economics and Political Science, LSE Library.
- Gromb, Denis & Vayanos, Dimitri, 2017. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 118954, London School of Economics and Political Science, LSE Library.
- Gromb, Denis & Vayanos, Dimitri, 2015. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 62007, London School of Economics and Political Science, LSE Library.
- William A. Allen & Gabriele Galati & Richhild Moessner & William Nelson, 2017.
"Central bank swap lines and CIP deviations,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(4), pages 394-402, October.
- Richhild Moessner & William A. Allen & Gabriele Galati & William Nelson, 2017. "Central bank swap lines and CIP deviations," National Institute of Economic and Social Research (NIESR) Discussion Papers 482, National Institute of Economic and Social Research.
- William Allen & Gabriele Galati & Richhild Moessner & William Nelson, 2017. "Central bank swap lines and CIP deviations," DNB Working Papers 566, Netherlands Central Bank, Research Department.
- Azusa Takeyama & Naoshi Tsuchida, 2015. "The Interaction between Funding Liquidity and Market Liquidity: Evidence from Subprime and European Crises," IMES Discussion Paper Series 15-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
- Frederic S. Mishkin, 2014.
"Central Banking after the Crisis,"
Central Banking, Analysis, and Economic Policies Book Series, in: Sofía Bauducco & Lawrence Christiano & Claudio Raddatz (ed.),Macroeconomic and Financial Stability: challenges for Monetary Policy, edition 1, volume 19, chapter 2, pages 23-59,
Central Bank of Chile.
- Frederick S. Mishkin, 2013. "Central Banking after the Crisis," Working Papers Central Bank of Chile 714, Central Bank of Chile.
- Suh, Sangwon & Kim, Young Ju, 2016. "Covered interest parity and arbitrage paradox in emerging markets: Evidence from the Korean market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 161-176.
- Dao, Thong M. & McGroarty, Frank & Urquhart, Andrew, 2019. "The Brexit vote and currency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 59(C), pages 153-164.
- Yang Chang, 2014. "A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 18, July-Dece.
- Pokutta, Sebastian & Schmaltz, Christian, 2011. "Managing liquidity: Optimal degree of centralization," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 627-638, March.
- Pierluigi Morelli & Giovanni Pittaluga & Elena Seghezza, 2015. "The role of the Federal Reserve as an international lender of last resort during the 2007–2008 financial crisis," International Economics and Economic Policy, Springer, vol. 12(1), pages 93-106, March.
- Lukasz Goczek, 2011. "Federal Policy Responses To The 2007-2009 Credit Crunch In The Us," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 6(3), pages 27-42, September.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017.
"Funding Constraints and Market Illiquidity in the European Treasury Bond Market,"
TSE Working Papers
17-814, Toulouse School of Economics (TSE).
- Sophie Moinas & Minh Nguyen & Giorgio Valente, 2018. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," EconPol Working Paper 13, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Krista Schwarz, 2019. "Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads," Review of Finance, European Finance Association, vol. 23(3), pages 557-597.
- Yang Chang, 2014. "A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2014, January-A.
- repec:hal:cepnwp:hal-01933930 is not listed on IDEAS
- Pauline Bourgeon & Jérôme Sgard, 2019. "Liquidity Swaps between Central Banks, the IMF, and the Evolution of the International Financial Architecture," Post-Print hal-04081559, HAL.
- Pauline Bourgeon & Jérôme Sgard, 2019. "Liquidity Swaps between Central Banks, the IMF, and the Evolution of the International Financial Architecture," SciencePo Working papers Main hal-04081559, HAL.
- Rose, Andrew K. & Spiegel, Mark M., 2012.
"Dollar illiquidity and central bank swap arrangements during the global financial crisis,"
Journal of International Economics, Elsevier, vol. 88(2), pages 326-340.
- Andrew K. Rose & Mark M. Spiegel, 2011. "Dollar Illiquidity and Central Bank Swap Arrangements during the Global Financial Crisis," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
- Rose, Andrew & Spiegel, Mark, 2011. "Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis," CEPR Discussion Papers 8557, C.E.P.R. Discussion Papers.
- Andrew K. Rose & Mark M. Spiegel, 2011. "Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis," NBER Working Papers 17359, National Bureau of Economic Research, Inc.
- Andrew K. Rose & Mark M. Spiegel, 2011. "Dollar illiquidity and central bank swap arrangements during the global financial crisis," Working Paper Series 2011-18, Federal Reserve Bank of San Francisco.
- Mr. Mark R. Stone & Mr. Etienne B Yehoue & Kotaro Ishi, 2009. "Unconventional Central Bank Measures for Emerging Economies," IMF Working Papers 2009/226, International Monetary Fund.
- Ayoki, Milton, 2010. "Response of the Financial Markets to the European Central Bank’s Policy Announcements during the Subprime and Global Financial Crisis," MPRA Paper 78846, University Library of Munich, Germany.
- Fiordelisi, Franco & Galloppo, Giuseppe & Ricci, Ornella, 2014. "The effect of monetary policy interventions on interbank markets, equity indices and G-SIFIs during financial crisis," Journal of Financial Stability, Elsevier, vol. 11(C), pages 49-61.
- Dong He & Robert McCauley, 2010.
"Offshore markets for the domestic currency: monetary and financial stability issues,"
BIS Working Papers
320, Bank for International Settlements.
- Dong He & Robert N. McCauley, 2010. "Offshore Markets for the Domestic Currency: Monetary and Financial Stability Issues," Working Papers 1002, Hong Kong Monetary Authority.
- Liu, Hao-Chen & Witte, Mark David, 2013. "The microstructure of covered interest arbitrage in a market with a dominant market maker," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 25-41.
- Hattori, Takahiro, 2023. "The premium and settlement of CCPs during the financial crisis: Evidence from the JGB market," Journal of International Money and Finance, Elsevier, vol. 132(C).
- Mr. Kalin I Tintchev, 2013. "Connected to Whom? International Interbank Borrowing During the Global Crisis," IMF Working Papers 2013/014, International Monetary Fund.
- Jae Woo Lee & Ashadun Nobi, 2018. "State and Network Structures of Stock Markets around the Global Financial Crisis," Papers 1806.04363, arXiv.org.
- Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2023. "Deviations from covered interest parity in the emerging markets after the global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
- Paulo Sergio Ceretta & Marcelo Brutti Righi & Alexandre Silva Da costa & Fernanda Maria Muller, 2012. "Quantiles autocorrelation in stock markets returns," Economics Bulletin, AccessEcon, vol. 32(3), pages 2065-2075.
- Alexis Stenfors, 2014. "The Swedish Financial System," FESSUD studies fstudy13, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
- Kai Schellekens & Patty Duijm, 2022. "Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the COVID-19 Pandemic," Working Papers 752, DNB.
- Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan, 2012. "The Dollar Squeeze of the Financial Crisis," Post-Print halshs-00673982, HAL.
- Marcus Scheiblecker & Christian Glocker & Serguei Kaniovski & Atanas Pekanov, 2018. "Der Beitrag der Finanzmarktinterventionen des Bundes über die HETA Abwicklungsgesellschaft zur Stabilisierung des österreichischen Finanzmarktes," WIFO Studies, WIFO, number 60979.
- Koyama, Kentaro & Takeda, Sumihiro, 2023. "Currency basis term structure, cross-border investment flow, and central bank currency swap agreement," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 470-482.
- International Monetary Fund, 2009. "How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis," IMF Working Papers 2009/204, International Monetary Fund.
- Nicola Moreni & Andrea Pallavicini, 2017. "Derivative Pricing With Collateralization And Fx Market Dislocations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-27, September.
- Nobi, Ashadun & Maeng, Seong Eun & Ha, Gyeong Gyun & Lee, Jae Woo, 2014. "Effects of global financial crisis on network structure in a local stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 135-143.
- Claudio Borio & Anna Zabai, 2018.
"Unconventional monetary policies: a re-appraisal,"
Chapters, in: Peter Conti-Brown & Rosa M. Lastra (ed.), Research Handbook on Central Banking, chapter 20, pages 398-444,
Edward Elgar Publishing.
- Claudio Borio & Piti Disyatat, 2010. "Unconventional Monetary Policies: An Appraisal," Manchester School, University of Manchester, vol. 78(s1), pages 53-89, September.
- Claudio Borio & Piti Disyatat, 2009. "Unconventional monetary policies: an appraisal," BIS Working Papers 292, Bank for International Settlements.
- Claudio Borio & Anna Zabai, 2016. "Unconventional monetary policies: a re-appraisal," BIS Working Papers 570, Bank for International Settlements.
- Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
- Paulo José Saraiva & Luiz Fernando De Paula & André De Melo Modenesi, 2016. "A Crise Financeira Americana E As Implicações Para A Política Monetária," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 114, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Yamani, Ehab, 2021. "Can technical trading beat the foreign exchange market in times of crisis?," Global Finance Journal, Elsevier, vol. 48(C).
- Enenajor, Emanuella & Sebastian, Alex & Witmer, Jonathan, 2012.
"An assessment of the Bank of Canada's term PRA facility,"
The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 123-143.
- Emanuella Enenajor & Alex Sebastian & Jonathan Witmer, 2010. "An Assessment of the Bank of Canada's Term PRA Facility," Staff Working Papers 10-20, Bank of Canada.
- Chaiyuth Padungsaksawasdi & Ali Parhizgari, 2017. "Major Currency ETFs and Their Associated Spot and Futures Rates," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-32, December.
- Zappa, Paola & Vu, Duy Q., 2021. "Markets as networks evolving step by step: Relational Event Models for the interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
- McCauley, Robert & McGuire, Patrick & von Peter, Goetz, 2012. "After the global financial crisis: From international to multinational banking?," Journal of Economics and Business, Elsevier, vol. 64(1), pages 7-23.
- Miroslav Titze, 2016. "Federal Reserve Swap Lines - International Lender of the Last Resort [Swapové linky federálneho rezervného systému - medzinárodný veriteľ poslednej inštancie]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2016(4), pages 3-23.
- Wang, Kai-Li & Fawson, Christopher & Chen, Mei-Ling & Wu, An-Chi, 2014. "Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 115-137.
- Assadi, Marzieh, 2017. "The Implication of Monetary and Fiscal Policy Interactions for the Price Levels: the Fiscal Theory of the Price Level Revisited," MPRA Paper 84851, University Library of Munich, Germany.
- Moessner, Richhild & Allen, William A., 2013. "Central bank swap line effectiveness during the euro area sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 167-178.
- Ji, Philip Inyeob, 2012. "Time-varying financial stress linkages: Evidence from the LIBOR-OIS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 647-657.
- Alexis Stenfors, 2014. "Financialisation and the Financial and Economic Crises: The Case of Sweden," FESSUD studies fstudy27, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
- Clarida, Richard & Davis, Josh & Pedersen, Niels, 2009.
"Currency carry trade regimes: Beyond the Fama regression,"
Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1375-1389, December.
- Richard Clarida & Josh Davis & Niels Pedersen, 2009. "Currency Carry Trade Regimes: Beyond the Fama Regression," NBER Working Papers 15523, National Bureau of Economic Research, Inc.
- David Cook & James Yetman, 2014. "Currency Boards when Interest Rates are Zero," Pacific Economic Review, Wiley Blackwell, vol. 19(1), pages 135-151, February.
- Matthieu Bussière & Menzie Chinn & Laurent Ferrara & Jonas Heipertz, 2022.
"The New Fama Puzzle,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(3), pages 451-486, September.
- Matthieu Bussiere & Menzie D. Chinn & Laurent Ferrara & Jonas Heipertz, 2018. "The New Fama Puzzle," NBER Working Papers 24342, National Bureau of Economic Research, Inc.
- Matthieu Bussière & Menzie Chinn & Laurent Ferrara & Jonas Heipertz, 2022. "The New Fama Puzzle," Post-Print hal-04459560, HAL.
- Shin-ichi Fukuda & Mariko Tanaka, 2013. "Financial Crises and Risk Premiums in International Interbank Markets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(1), pages 117-138, January.
- Linda S. Goldberg & Craig Kennedy & Jason Miu, 2011.
"Central bank dollar swap lines and overseas dollar funding costs,"
Economic Policy Review, Federal Reserve Bank of New York, vol. 17(May), pages 3-20.
- Linda S. Goldberg & Craig Kennedy & Jason Miu, 2010. "Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs," NBER Working Papers 15763, National Bureau of Economic Research, Inc.
- Linda S. Goldberg & Craig Kennedy & Jason Miu, 2010. "Central bank dollar swap lines and overseas dollar funding costs," Staff Reports 429, Federal Reserve Bank of New York.
- Yoshiko Suzuki, 2016. "European banks' funding realignment during the European debt crisis: impact of counterparty risk and funding liquidity on FX swap pricing," Economics Bulletin, AccessEcon, vol. 36(2), pages 696-703.
- International Monetary Fund, 2013. "Russian Federation: Selected Issues," IMF Staff Country Reports 2013/311, International Monetary Fund.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Yang-Ho Park, 2019. "Variance Disparity and Market Frictions," Finance and Economics Discussion Series 2019-059, Board of Governors of the Federal Reserve System (U.S.).
- Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
- Gorton, Gary & Metrick, Andrew, 2012.
"Securitized banking and the run on repo,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 425-451.
- Gary Gorton & Andrew Metrick, 2010. "Securitized Banking and the Run on Repo," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Gary B. Gorton & Andrew Metrick, 2009. "Securitized Banking and the Run on Repo," NBER Working Papers 15223, National Bureau of Economic Research, Inc.
- Gary Gorton & Andrew Metrick, 2009. "Securitized Banking and the Run on Repo," Yale School of Management Working Papers amz2358, Yale School of Management, revised 01 Sep 2009.
- Choi, Hanbok & Eom, Young Ho & Jang, Woon Wook & Kim, Don H., 2017. "Covered interest parity deviation and counterparty default risk: U.S. Dollar/Korean Won FX swap market," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 47-63.
- Pope, Robin & Selten, Reinhard, 2011. "Public Debt Tipping Point Studies Ingnore How Exchange Rate Changes May Create A Financial Meltdown," Bonn Econ Discussion Papers 15/2011, University of Bonn, Bonn Graduate School of Economics (BGSE).
- 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.
- Vladyslav Sushko & Claudio Borio & Robert Neil McCauley & Patrick McGuire, 2016. "The failure of covered interest parity: FX hedging demand and costly balance sheets," BIS Working Papers 590, Bank for International Settlements.
- Bottazzi, Jean-Marc & Luque, Jaime & Pascoa, Mario R. & Sundaresan, Suresh, 2011.
"The dollar squeeze of the financial crisis,"
UC3M Working papers. Economics
we1139, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan, 2012. "The Dollar Squeeze of the Financial Crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00673982, HAL.
- Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan, 2012. "The dollar squeeze of the financial crisis," Documents de travail du Centre d'Economie de la Sorbonne 12009, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Kotaro Ishi & Mr. Kenji Fujita & Mr. Mark R. Stone, 2011. "Should Unconventional Balance Sheet Policies Be Added to the Central Bank toolkit? a Review of the Experience so Far," IMF Working Papers 2011/145, International Monetary Fund.
- Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014.
"The interbank market risk premium, central bank interventions, and measures of market liquidity,"
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