Macro Risk Premium and Intermediary Balance Sheet Quantities

By Tobias Adrian, Emanuel Moench, Hyun Song Shin. 2010

114 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/51e97c84e6c1a43a87f4ac47c70bab1c6aa6ffb2

Citations in the corpus

• Issuer Quality and Corporate Bond Returns (2013, unknown): “(14) where Zt denotes balance sheet variables for different intermediary groups, including equity-to-asset ratios (E/A) and annual asset growth (dA/A), are constructed from Flow of Funds data following Adrian, Moench, and Shin (2010).”
• The Real Consequences of Financial Stress (2013, unknown): “Clearly, and as stressed by BS (2010, 2011), the dynamics of models of the type (1)–(3) or (5)–(6) cannot not be studied using the usual linearization techniques.”
• Financial Intermediation and Macroeconomic Analysis (2010, unknown): “6 The “value-at-risk constraint” assumed by authors such as Zigrand, Shin, and Danielsson (2010), Adrian, Moench, and Shin (2010b), and Adrian and Shin (forthcoming b) is an example of a constraint of this form.”