Bubbles, Financial Crises, and Systemic Risk

By Markus K. Brunnermeier, Martin Oehmke. 2012

460 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/478bf22ef5e1218c9adc2ec2ce74fd767c71423b

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In Economics and Econometrics

Citations in the corpus

Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach (2014, unknown): “The loss and margin spirals described in Brunnermeier and Pedersen (2009) and Brunnermeier and Oehmke (2012) generate spillovers and externalities purely through the actions and loss reactions of ﬁnancial institutions.”
Systemic Risk and Stability in Financial Networks (2015, unknown): “For a recent survey, see Brunnermeier and Oehmke (2013).”
VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles (2015, unknown): “Furthermore note that ̃ = [̃12]0 because of (8).”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “See Brunnermeier and Oehmke (2013) for a detailed discussion of the rational bubble model and of other frameworks for thinking about bubble episodes.”
Banking, Liquidity and Bank Runs in an Infinite Horizon Economy (2015, unknown): “The first order conditions for deposits and direct capital holdings are given by (Λ+1+1) = 1 (7)”
Extrapolation and bubbles (2018, unknown): “Second, we would like to explain the crucial fact that bubbles feature very high trading volume ( Galbraith, 1954; Carlos et al., 2006; Hong and Stein, 2007 ). At first sight, it is not clear how extrapolation can explain this: if, during a bubble, all extrapolators hold similarly bullish views, the”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “Brunnermeier and Oehmke (2013a) also require a measure to satisfy the clone property: if a financial institution is split into several”
Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices (2015, background): “Bubbles, crashes and crises have occurred in different financial markets at all stages of development: developed financial systems as well as emerging economies and developing financial markets (Brunnermeier and Oehmke, 2012, see Section 2, p. 7).”
Asset Price Bubbles and Systemic Risk (2019, unknown): “Allen, Babus, and Carletti (2012) as well as Brunnermeier and Oehmke (2013) provide comprehensive reviews, also including the theoretical literature.”
NETS: Network estimation for time series (2019, unknown): “The application is motivated by the 2007/2009 financial crisis and is connected to the strand of literature concerned with the development of quantitative techniques for the measurement of systemic risk in the economy (see also Adrian and Brunnermeier, 2009; Brownlees and Engle, 2012; Bisias, Flood,”