Market liquidity and funding liquidity

By Markus K. Brunnermeier, Lasse Heje Pedersen. 2009

5,052 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d30cf8634f5c2e4cad6a31cb8a48948e9c6af638

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Citations in the corpus

The diminishing liquidity premium (2015, background): “For example, Brunnermeier and Pedersen (2009) point out that during volatile time periods liquidity providers and arbitrageurs are less willing to provide liquidity and exploit mispricing.”
Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, positive): “14Another extension of Gromb and Vayanos (2002) is provided by Brunnermeier and Pedersen (2009), who introduce an explicit role for stochastic volatility within a pricing setting that feature arbitrage capital.”
Empirical cross-sectional asset pricing: a survey (2011, background): “Brunnermeier and Pedersen (2009) propose a theoretical model to consider the relationship between asset liquidity and funding availability in the stock market.”
Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2012, neutral): “Moreover, a liquidity squeeze and the freezing of credit markets during the crisis made it difficult for financial and non-financial institutions to obtain capital, and thus may have been key in spreading or exacerbating the crisis (Adrian and Brunnermeier 2010, Brunnermeier and Pedersen 2009).”
Bond Supply and Excess Bond Returns (2014, neutral): “During 1962-1964, the US Treasury and Federal Reserve (1)See, for example, Shleifer and Vishny (1997), Kyle and Xiong (2001), Xiong (2001), Gromb and Vayanos (2002, 2007), Gabaix, Krishnamurthy and Vigneron (2007), Brunnermeier and Pedersen (2007), and He and Krishnamurthy (2007).”
The effect of information quality on liquidity risk (2011, neutral): “…and market maker outflow from the equity markets amidst high market volatility and risk aversion; in the extreme, this is known as a flight to quality/safety (e.g., Chordia, Roll, and Subrahmanyam, 2000; Pastor and Stambaugh, 2003; Acharya and Pedersen, 2005; Brunnermeier and Pedersen, 2009).”
Asset Price Bubbles and Systemic Risk (2019, neutral): “Brunnermeier (2009), Hellwig (2009) as well as Shleifer and Vishny (2011) argue that it is exactly such dynamics that make risk systemic.”
Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds (2020, neutral): “2 However, while dealers can provide immediacy to less patient investors, their willingness and/or ability to commit capital can be limited (Hendershott and Seasholes, 2007; Brunnermeier and Pedersen, 2009; Duffie, 2010).”
Financial Intermediation, International Risk Sharing, and Reserve Currencies (2017, background): “8This emphasizes, as in Brunnermeier and Pedersen (2008), the interaction of market liquidity, i.e. the price impact of transactions in the risky asset (Q̃′), and funding liquidity, i.e. the ability of financial intermediaries to raise capital for investment (φ). 9This second region of the state spa”
The Illiquidity Premium: International Evidence (2015, neutral): “Following Brunnermeier and Pedersen’s (2009) model, variations in illiquidity premium may reflect variations in the shadow price of financial constraints or variations in margin requirement, which can be interpreted as the price of illiquidity.”