A Model of Capital and Crises

By Zhiguo He, Arvind Krishnamurthy. 2012

544 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bd2ec16dfcbf24760d0a01202b6010d5c929a86f

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Citations in the corpus

The I Theory of Money (2016, unknown): “He and Krishnamurthy (2010) also study the full equilibrium dynamics and focus in particular on credit spreads.”
Treasury inconvenience yields during the COVID-19 crisis (2020, unknown): “Both the selling pressure and its eventual accommodation by the Fed were concentrated in longterm Treasuries (see also He and Krishnamurthy (2020) ).”
Financial Intermediary Capital (2011, unknown): “But perhaps most uniquely, our model captures the tentative and halting nature of recoveries from such episodes emphasized by Reinhart and Rogoff (2014) and allows the analysis of the severity of the credit crunch itself on the recovery, which calls for a model with two state variables.”
Liquidity and Market Crashes (2009, unknown): “11 See also Brennan (1975), Hirshleifer (1988), Leland and Rubinstein (1988), Chatterjee and Corbae (1992), and Vissing-Jorgensen (2002), among others, for more discussion of participation costs in financial markets.”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, background): “In a simplified version of He and Krishnamurthy (2012) that focuses on the risk of intermediary capital ratio, the risk price can be described as”
Capital regulation and monetary policy with fragile banks (2013, methodology): “To this category belong papers by Meh and Moran [47], Covas and Fujita [22], He and Krishnamurthy [37], with the latter using a continuos time structure.”
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2015, unknown): “…uncertainty in a model of informational interdependence and mutual learning; Adrian and Boyarchenko (2012), Brunnermeier and Sannikov (2014), and He and Krishnamurthy (2012) study production economies with financial intermediaries that give rise to time-varying GDP vulnerabilities (downside…”
Asset Price Dynamics with Slow-Moving Capital (2010, background): “Gromb and Vayanos (2002), He and Krishnamurthy (2009), Gromb and Vayanos (2010), Lagos, Rocheteau, and Weill (2009), Rinne and Suominen (2009), Brunnermeier and Pedersen (2009), and Duffie and Strulovici (2009) provide various dynamic asset pricing theories based on intermediated movement of…”
Bubbles, Financial Crises, and Systemic Risk (2012, unknown): “Amplification effects also arise in the limited participation model of He and Krishnamurthy (2012), in which households can invest in the risky asset only through intermediaries.”
What do we know about the effects of macroprudential policy (2018, unknown): “Another class of models studies global dynamics in models with financial frictions in a continuous time setting (He and Krishnamurthy, 2012, 2013; Brunnermeier and Sannikov, 2014; Adrian and Boyarchenko, 2012).”