Liquidity and Financial Market Runs

By Antonio E. Bernardo, Ivo Welch. 2002

273 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cee7415fb9a1c0ca908abd4a0e15ce1700442e17

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Citations in the corpus

Understanding Commonality in Liquidity Around the World (2011, background): “Similar effects arise through different channels in Bernardo and Welch (2004) and Morris and Shin (2004), where traders with private trading limits generate ‘‘liquidity black holes’’ by mutually reinforcing liquidation.”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “In a foresighted contribution, Bhattacharya and Gale (1987) show that banks invest too much in illiquid assets, thus exposing the banking system to the risk of aggregate liquidity shortages. The reason is a free-riding problem: it would be collectively optimal that some banks invest in assets that c”
Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries (2007, unknown): “In Bernardo and Welch (2004), liquidity providers are more risk averse when stock prices decrease, and the fear of future liquidity shocks causes”
Investors' Horizons and the Amplification of Market Shocks (2013, background): “These differences in the price declines between the two groups of stocks and before week 0 may be consistent with the model of Bernardo and Welch (2003) where investors, seeing signs of possible market declines in the near future (CDS spreads indicated this in the summer of 2008), start re-positioni”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, background): “3 Bookstaber (2000), Kyle and Xiong (2001), Xiong (2001), Bernardo and Welch (2004), Cifuentes et al. (2005) and Garleanu and Pedersen (2007) follow a similar line of argumentation.”
Liquidity Black Holes (2004, unknown): “Bernardo and Welch (2001) and Brunnermeier and Pedersen (2002) have used this device in modelling limited liquidity facing active traders.”
Market liquidity and funding liquidity (2009, unknown): “Stoll (1978), Ho and Stoll (1981,1983), and Grossman and Miller (1988)), search frictions (Duffie, Gârleanu, and Pedersen (2003a, 2003b)), or predatory trading (Brunnermeier and Pedersen (2005)). This literature assumes that intermediaries have no funding constraints, with a few exceptions. Attari, ”