A model of liquidity hoarding and term premia in inter-bank markets

By V. Acharya, David Skeie. 2011

140 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a826eb218938073088ac6e1b4c36a1a418b20cfe

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Citations in the corpus

Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-Prime Crisis (2010, unknown): “[5] Acharya, Viral V.”
CISS - A Composite Indicator of Systemic Stress in the Financial System (2012, unknown): “reflects liquidity and counterparty risk in the inter-bank market (as in Heider, Hoerova and Holthausen 2010 or Acharya and Skeie 2011) as well as the convenience premium on short-term Treasury paper, and thus captures stress features like flight-to-quality, flight-to-liquidity as well as the price ”
Interbank Liquidity Crunch and the Firm Credit Crunch: Evidence from the 2007--2009 Crisis (2013, unknown): “Acharya and Skeie (2011) show that banks hoard liquidity and decrease term lending during the crisis, which in the extreme can lead to a complete”
The Euro Interbank Repo Market (2016, unknown): “…total interbank liquidity as in Allen, Carletti, and Gale (2009)), Knightian uncertainty (Caballero and Krishnamurthy, 2008), roll-over risk (e.g., Acharya and Skeie (2011)), and liquidity hoarding to profit from potential fire sales (Diamond and Rajan, 2011) could be so strong that banks do not…”
Complexity, concentration and contagion (2011, background): “It shows the marked rise 6On the amplication role of haircut shocks, see Brunnermeier and Pedersen (2009), Adrian and Shin (2010a), Geanakoplos (2010) and Gorton and Metrick (2010).”
Measuring Liquidity Mismatch in the Banking Sector: Measuring Liquidity Mismatch in the Banking Sector (2017, unknown): “Related Literature 1One theoretical rationale to justify liquidity injections by the Fed is an inter-bank market freeze, as modelled in Acharya and Skeie (2011). Another reason is the stigma of borrowing at the discount window.”