Procyclical Leverage and Endogenous Risk
By Jon Danielsson, Hyun Song Shin, Jean-Pierre Zigrand. 2012
177 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/02d5ea8e089feabd99a58a1ed2d6949af81f8be7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- T. Besley
- James Fenske
- Torsten Persson
- Guido Tabellini
- Timothy J. Besley
- W. Henisz
- Philip E. Keefer
- M. Alsan
In Finance
Citations in the corpus
- U.S. Monetary Policy and the Global Financial Cycle (2020, unknown): “The model builds directly on the work of Zigrand et al. (2010) and Adrian and Shin (2014).(27) We consider a world in which there are two types of investors: global banks and asset managers. Global banks are leveraged entities that fund themselves in dollars for their operations in global capital ma”
- World Asset Markets and the Global Financial Cycle (2015, unknown): “Our framework is related to Zigrand et al. (2010), Adrian and Shin (2013) and Etula (2013), Adrian and Boyarchenko (2014).”
- Ecology, trade and states in pre-colonial Africa (2014, background): “…benefits of “stationary” versus “roving” bandits (Olson, 1993), the relative benefits of different mechanisms for governing markets (Dixit, 2004) conflict (Besley and Persson, 2010; Gennaioli and Voth, 2012), ease of taxation (Moav et al., 2011), and past investments (Besley and Persson, 2009).”
- Limits of Arbitrage (2010, unknown): “A number of papers integrate constraints on the equity capital available to arbitrage funds— and especially its dependence on past performance—into dynamic settings.”
- The Logic of Political Violence (2011, background): “G = argmax G 0 H (G) + 2 (1 ) R G wL + w : (5) De ne b G (z) by HG b G (z) = 1”
- Margin-Based Asset Pricing and Deviations from the Law of One Price (2011, unknown): “Also, the paper is related to the link between margins and market liquidity and volatility (Gromb and Vayanos (2002), Brunnermeier and Pedersen (2009), Adrian and Shin (2009), Danielsson, Shin, and Zigrand (2009) ) and the related literatures in banking (Allen and Gale (1998, 2004, 2005)) and corpo”
- Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010, unknown): “However, our results are consistent with Danielsson et al. (2009) who show that risk-neutral traders operating under Value-at-Risk constraints can amplify market shocks through feedback effects. Our results are also consistent with Battiston et al. (2009) who generate the endogenous emergence of sys”
- Measuring Systemic Risk in the Finance and Insurance Sectors (2010, unknown): “However, our results are consistent with Danielsson et al. (2009) who show that risk-neutral traders operating under Value-atRisk constraints can amplify market shocks through feedback effects.”