Leaning Against the Wind

By Pierre-Olivier Weill. 2007

291 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/698ade649f09843f55f5c4e4a6707f7d0453b02d

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Citations in the corpus

Liquidity: A New Monetarist Perspective (2017, background): “26In the simplest formulation, does not hold the asset, although he can in extensions by Weill (2007,2008).”
Amplification Mechanisms in Liquidity Crises (2009, unknown): “Then, d s < P .”
Liquidity and Risk Management (2007, unknown): “Weill (2003) considers another extension of DGP in which”
Corporate Bond Liquidity during the COVID-19 Crisis (2020, background): “Hence, when selling pressure surged, it appears that dealers were highly reluctant to absorb inventory onto their own balance sheet, or to “lean against the wind” (Weill, 2007).”
Endogenous Liquidity and Defaultable Bonds (2012, unknown): “Our paper also makes a contribution to the search based asset-pricing literature, as represented by Duffie, Garlenau, and Pedersen (2005, 2007); Weill (2007); Lagos and Rocheteau (2007, 2009); Biais and Weill (2009).”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “Rather than focusing on the implications of investor inattention for the moments of aggregate consumption and market returns, I offer a simple illustrative model of the implications for price impacts and reversals associated with supply shocks.”
Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “This type of nonlinear relationship is broadly consistent with theories of flight-to-safety which tend to predict highly nonlinear equilibrium asset pricing relationships (Vayanos (2004), Weill (2007), Caballero and Krishnamurthy (2008), Brunnermeier and Pedersen (2009), Vayanos and Woolley (2013)).”
When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020, unknown): “26 Weill (2007) shows theoretically how, in presence of persistent demand shocks, market-makers do not immediately provide liquidity.”
Valuation in Over-the-Counter Markets (2006, unknown): “We are grateful for conversations with Yakov Amihud, Helmut Bester, Joseph Langsam, Richard Lyons, Tano Santos, and Jeff Zwiebel, and to participants at the NBER Asset Pricing Meeting, the Cowles Foundation Incomplete Markets and Strategic Games Conference, Hitotsubashi University, The London School”