Sizing Up Repo

By Arvind Krishnamurthy, Stefan Nagel, Dmitry Orlov. 2014

432 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6b9cb9383f1ec82fcf45943d7a83a33455ad38a1

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Citations in the corpus

A Model of Monetary Policy and Risk Premia (2015, background): “Krishnamurthy et al. (2014) calculate that from 2007 to 2009, the overall amount of short-term debt used to fund purchases of risky private-label ABS and corporate bonds contracted by 66% and 29% respectively, and by 57% overall.”
Treasury inconvenience yields during the COVID-19 crisis (2020, neutral): “Their safety and liquidity is reflected in a price premium (Longstaff (2004); Krishnamurthy and Vissing-Jorgensen (2012)).”
Wholesale Banking and Bank Runs in Macroeconomic Modeling of Financial Crises (2016, neutral): “See Gorton and Metrick (2012) and Krishnamurthy et al. (2014).”
What Happened: Financial Factors in the Great Recession (2018, background): “Financial crises are highly nonlinear events (for example, see Krishnamurthy, Nagel, and Orlov 2014).”
Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds (2016, neutral): “6 shadow banking, including Gorton and Metrick (2012), Stein (2012), Kacperczyk and Schnabl (2013), Krishnamurthy, Nagel, and Orlov (2014), Chernenko and Sunderam (2014), and Schmidt, Timmerman, and Wermers (2016).”
Bank Leverage Cycles (2017, neutral): “The latter implies a repo loan-to-value ratio of b = B/A = (φ− 1) /φ = 0.9454, or equivalently a repo haircut of 5.46%; the latter is in line with average haircuts for repos backed by corporate debt and private-label ABS, as documented by Krishnamurthy et al. (2012).”
Understanding the Role of Debt in the Financial System (2015, neutral): “Figure 8, taken from Krishnamurthy et al (2014), gives a schematic overview of the system; see also Copeland et al (2010, 2014).”
Banking on Bonds: The New Links Between States and Markets (2016, neutral): “While US scholars and policy-makers have dedicated close attention to the run on US repo markets following Lehman Brothers’ collapse (Gorton and Metrick, 2012; Krishnamurthy et al., 2014) and the FSB (2012) put repo markets on its shadow banking agenda, scholarship on the systemic fragilities in Eur”
Measuring Liquidity Mismatch in the Banking Sector: Measuring Liquidity Mismatch in the Banking Sector (2017, neutral): “These components resound with the collateral classes 5The MMF data measures haircuts in what is known as the tri-party repo market (see Krishnamurthy, Nagel, and Orlov (2014) for details).”
Banks as patient fixed-income investors (2014, background): “…and Stafford, 2009; Shleifer and Vishny, 2010; Gorton and Metrick, 2011; Diamond and Rajan, 2011; Stein, 2012; Gennaioli, Shleifer, and Vishny, 2012, 2013; Kacperczyk and Schnabl, 2013; Krishnamurthy, Nagel, and Orlov, 2014; Chernenko and Sunderam, 2014; Sunderam, 2015; Moreira and Savov, 2014).”