The subprime credit crisis and contagion in financial markets

By Francis A. Longstaff. 2010

695 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b97b6486c08189619bfa7c59350b3349086990c9

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Citations in the corpus

Individual Investor Perceptions and Behavior During the Financial Crisis (2013, neutral): “…and Peydró (2011) and Brun institutions), Campello et al. (2011) (corporate investm (2011) (household welfare), Santos (2011) and Ivashina lending), Longstaff (2010), Aloui et al. (2011), and Bau Jin et al. (2011) and Moshirian (2011) (financial regu (2012) (institutional investors). a b s t r a c…”
The more contagion effect on emerging markets: The evidence of DCC-GARCH model (2012, background): “Recent important papers focus on contagion includes Longstaff (2010), Aloui et al. (2011) and many others.”
Transmission channels of systemic risk and contagion in the European financial network (2015, neutral): “Indeed, whilst liquidity abruptly dries up when the financial system is under a distress situation, (see also Longstaff, 2010), central banks and governments need a sufficient amount of time to decide on the appropriate actions.”
Fire sales, indirect contagion and systemic stress testing (2017, neutral): “This example, far from being a curiosity, is in fact illustrative of the mechanism which led to amplification and contagion of losses from the subprime asset class to the entire global financial system in 2007-2008 [Longstaff, 2010].”
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns (2012, methodology): “The interpretation of these findings is based on Merton (1973) original contribution. The main difference between the capital asset pricing model (CAPM) of Sharpe (1964) and Lintner (1965) and Merton (1973) ICAPM is the “intertemporal hedging demand.”
The role of institutional investors in propagating the crisis of 2007-2008. (2012, neutral): “11 Longstaff (2010) finds that declines in subprime-related asset values forecast widening of corporate bond spreads with a lag after the onset of the crisis, especially in 2007.”
Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model (2019, background): “Examples include the peer effects of learning in classroom (Angrist and Lang 2004; Ammermuller and Pischke 2009), the spread of crime and delinquent behavior (Glaeser, Sacerdote, and Scheinkman 1996) in criminology, and contagion between financial markets (Longstaff 2010).”
Credit Default Swaps: A Survey (2014, methodology): “Longstaff et al. [2005] were the first to provide new evidence relating to the corporate yield spread and the CDS-bond basis, using CDS data for 68 firms from March 2001 to October 2002.”