Liquidity Risk and Contagion

By R. Cifuentes, G. Ferrucci, Hyun Song Shin. 2005

938 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1f916b54549fc13412c1368ed68698f8f6f08806

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Citations in the corpus

Did Fair-Value Accounting Contribute to the Financial Crisis? (2010, neutral): “for otherwise sound banks (Cifuentes et al., 2005; Allen and Carletti, 2008; Heaton et al., 2009).”
Climate risk and financial stability in the network of banks and investment funds (2020, positive): “Following Cifuentes et al. (2005) we use an exponential function. Cifuentes et al. (2005) set alpha to ln(2), which, in case of a total liquidation of the asset classes, corresponds to a price drop of 50%.”
Simulation methods to assess the danger of contagion in interbank markets (2011, background): “The role of fire sales, which could add to the losses on interbank lending, is explored by Cifuentes et al. (2005).”
Fire‐Sale Spillovers and Systemic Risk (2015, neutral): “Empirically, Coval and Stafford (2007) show that mutual funds are not very selective when fire selling, disposing of liquid and illiquid stocks alike.”
Cross-Border Interbank Networks, Banking Risk and Contagion (2015, background): “Theoretical results point towards a non-monotonic relationship (Allen and Gale, 2000; Cifuentes et al., 2005; Gai and Kapadia, 2010).”
Estimating Global Bank Network Connectedness (2017, neutral): “Recent theoretical work has therefore emphasized network connectedness in financial and industry contexts, as in Jackson (2008), Easley and Kleinberg (2010), Acemoglu et al.”
Too Interconnected to Fail: A Survey of the Interbank Networks Literature (2015, background): “Cifuentes et al. (2005) build a theoretical model of an interbank network and combine direct linkages with indirect linkages via overlapping asset portfolios of banks. Notably Cifuentes et al. (2005) show that when the prices of fire sold assets are allowed to change endogenously, the impact of an i”
Continuity properties and sensitivity analysis of parameterized fixed points and approximate fixed points (2016, background): “For the author, the immediate motivation was from financial systemic risk models such as those in [10, 8, 4, 12] where methodology to estimate system parameters are studied in, e.”
Liquidity (Risk) Concepts: Definitions and Interactions (2009, neutral): “…the highly inter-connected bank payment systems (see Flannery, 1996 and Freixas et al., 1999 for further references), to balance sheet linkages (see Cifuentes et al., 2005 and references therein) or, more generally, cross-holdings of liabilities across banks (be it deposits, interbank loans and…”