Intermediary Asset Pricing

By Zhiguo He, Arvind Krishnamurthy. 2013

1,183 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4f97a9a33fcd5746eae5acaad015ff6e0ab26142

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Citations in the corpus

What do we know about the effects of macroprudential policy (2018, neutral): “Another class of models studies global dynamics in models with financial frictions in a continuous time setting (He and Krishnamurthy, 2012, 2013; Brunnermeier and Sannikov, 2014; Adrian and Boyarchenko, 2012).”
Financial crises, bank risk exposure and government financial policy (2012, background): “The equations (1, 2, 3, 4, 6, 8, 9, 11, 12, 27, 30, 31, 32, 40, 45, 46, 47, 48) determine the seventeen endogenous variables (Yt, Kt, St, Ct, It, Lt, Zt, Rt+1, qt, νt,μst, μet, xt, Qt, Nt, et, Dt) as a function of the state variables (St−1, Ct−1, It−1, et−1, RtDt−1, RtDgt−1, Sgt−1, At, ψt), together”
Issuer Quality and Corporate Bond Returns (2013, methodology): “Reminiscent of Hickman (1958), Atkinson (1967), and Bernanke, Gertler, and Gilchrist (1996), this exercise suggests that variation in credit quality is a defining feature of the credit cycle.”
Banking on Deposits: Maturity Transformation without Interest Rate Risk (2018, background): “…of dynamic general equilibrium models, maturity transformation in the financial sector varies with the magnitude of the term premium and effective risk aversion (He and Krishnamurthy (2013), Brunnermeier and Sannikov (2014), Brunnermeier and Sannikov (2016), Drechsler, Savov, and Schnabl (2018)).”
Autoencoder asset pricing models (2020, background): “Essentially all leading theoretical asset pricing models predict nonlinearities in return dynamics as a function of state variables; Campbell and Cochrane (1999), Bansal and Yaron (2004), and He and Krishnamurthy (2013) are prominent examples.”
International Credit Supply Shocks (2017, positive): “These intermediaries are subject to an exogenous capital requirement as in Brunnermeier and Sannikov (2014) and He and Krishnamurthy (2013).”
The ins and outs of LSAPs (2013, background): “They are often interpreted by investors as signals regarding the central bank's intentions over the path of the short-term interest rate (see Clouse, Henderson, Orphanides, Small and Tinsley 2000; Eggertson and Woodford 2003; and Woodford 2012).”
Monetary Policy, Credit Spreads, and Business Cycle Fluctuations (2015, background): “Theoretical foundations for such “intermediary” asset pricing theories are developed in the influential work of He and Krishnamurthy (2013) and Brunnermeier and Sannikov (2014). in the United States and Europe during the summer of 2007, the EBP rose sharply, an increase concomitant with a jump in…”
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity (2011, neutral): “…frictions also leading to capital constraints and market freezes, such as the structure of financial institutions, as in Diamond and Rajan (2005), He and Krishnamurthy (2008b) and Duffie (2009), the structure of markets, as in Acharya and Pedersen (2005), Allen and Gale (2003), Allen, Carletti,…”