How Debt Markets Have Malfunctioned in the Crisis

By Arvind Krishnamurthy. 2009

141 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/696e1f76ac1bf0fdaf059646b79ad45bc08ef01b

Citations in the corpus

• Sizing Up Repo (2014, unknown): “The spread of Agency repo rates to Treasury repo rates in Figure 9 is often below 1.51%.”
• The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market (2012, unknown): “As a result, an issuer has an incentive to deviate from an equilibrium with long-term debt by issuing more short-term debt.7 Krishnamurthy (2010) documented that maturities in the commercial paper market shortened in the summer of 2007; the contribution of our analysis is to link this shortening to…”
• The Fragile Capital Structure of Hedge Funds and the Limits to Arbitrage (2011, unknown): “…and financing policies are due in part to differences in the nature of the capital structures of the 2 Mitchell and Pulvino (forthcoming) and Krishnamurthy (2010) provide convincing evidence that, during the recent liquidity crisis, arbitrage opportunities were pronounced in debt markets.”
• The impact of Treasury supply on financial sector lending and stability (2015, unknown): “For example, Krishnamurthy (2010) notes that repo market haircuts on long-term Treasury bonds are 5% while they are closer to 2% on short-term bonds.”
• CISS - A Composite Indicator of Systemic Stress in the Financial System (2012, unknown): “…of financial stress are often closely interrelated, with a tendency to reinforce each other as in the case of fire sales and liquidity spirals, a situation in which declining market and funding liquidity exacerbate each other (Brunnermeier 2009; Brunnermeier and Pedersen 2009; Krishnamurthy 2010).”
• Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial Crisis (2013, unknown): “Krishnamurthy (2010) observes that monthly dealer repo activity dropped from about $4 trillion in July 2007 to $2.5 trillion in January 2009.11 The Noise measure proposed by Hu, Pan, and Wang (2012), which proxies for the (inverse of) amount of arbitrage capital in the market, increased from 4 bps…”
• When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020, unknown): “The leading example is Krishnamurthy and Vissing Jorgensen (2011), who use an event study to assess the effects of quantitative easing in 2008–2009.”
• Balance Sheet Adjustments in the 2008 Crisis (2010, unknown): “The equity risk-capital constraint model of He and Krishnamurthy (2008, 2009) is not consistent with the fall in leverage of the broker/dealer and hedge fund sectors.”