Liquidity and Contagion: The Crisis of 1763

By I. Schnabel, Hyun Song Shin. 2004

152 citations recorded by the source corpus.

Subfields: Anthropology, Economics and Econometrics, Political Science and International Relations

View Paper: https://www.semanticscholar.org/paper/753c541d09c91d41de007947466a4fbfa0f341c6

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In Anthropology

Franklin Allen

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Franklin Allen

Citations in the corpus

Towards a Framework for Quantifying Systemic Stability (2012, background): “Following Schnabel and Shin (2004) and Cifuentes, Ferrucci, and Shin (2005), we suppose the following relation between forced sales and the asset price, q: q = e−θx, (9) where x > 0 is the fraction of system assets sold onto the market and the fundamental price of the asset is set at q = 1.”
Networks in Finance (2008, background): “Upper and Worms (2004) analyze the German banking system.”
The History and Economics of Safe Assets (2016, unknown): “If bonds could be issued against cash segregated into a single account at the Federal Reserve and earned interest on this cash as reserves, then cash could be securitized.”
Contagion in financial networks (2010, background): “Following Schnabel and Shin (2004) and Cifuentes et.al (2005), suppose that the price of the illiquid asset, q, is given by q = e x; (21) where x > 0 is the fraction of system (illiquid) assets which have been sold onto the market (if assets are not being sold onto the market, q = 1).”
Quantification of systemic risk from overlapping portfolios in the financial system (2018, background): “bank. Alternatively, we incorporate absorption eects of ﬁnancial markets into our analysis. When a bank fails, ﬁnancial markets may have a limited capacity to absorb assets which are sold. Following Schnabel and Shin (2004), Cifuentes et al. (2005) and Gai and Kapadia (2010), the price of an asset, ”
Risk and liquidity in a system context (2008, unknown): “Plantin, Sapra and Shin (2004, 2005) discuss these and other dimensions of the tradeoff between mark-to-market accounting and historical cost accounting.”
Crisis Resolution and Bank Liquidity (2011, unknown): “The notion that outsiders may not be able to use the banking assets as efficiently as the existing bank owners is akin to the notion of asset specificity, first introduced in the corporate-finance literature by Williamson (1988) and Shleifer and Vishny (1992) and employed extensively since then in t”
Bubbles and Central Banks: Historical Perspectives (2015, unknown): “ When asset prices collapsed, highly leveraged financial institutions failed, leading to fire sales and a large‐scale financial crisis with severe repercussions for the real economy (Schnabel and Shin, 2004).”