Intermediary Leverage Cycles and Financial Stability

By Tobias Adrian, Nina Boyarchenko. 2012

260 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ec855585fd6da87edced3d451c4c0c038306fc12

Citations in the corpus

Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “The important connection between the present paper, and Adrian and Boyarchenko (2012), is the fact that the VaR constraint directly links aggregate volatility to the leverage of intermediaries.”
It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities (2020, unknown): “More broadly, this paper is related to the literature on the effect that intermediary constraints play in equilibrium risk premia (see e.g. He and Krishnamurthy, 2012, 2013; Adrian et al., 2014; Brunnermeier and Sannikov, 2014; Adrian and Boyarchenko, 2012) and market liquidity provision (see e.”
A Model of Monetary Policy and Risk Premia (2015, unknown): “A maturity mismatch between assets and liabilities causes intermediary net worth to fall when interest rates rise unexpectedly, which forces balance sheets to contract (e.g. Cúrdia and Woodford, 2009; Adrian and Shin, 2010; Gertler and Kiyotaki, 2010; Adrian and Boyarchenko, 2012).”
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2015, unknown): “…andWang (2017) studies self-fulfilling surges in financial and real 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…”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, unknown): “50 Other related papers are Geanakoplos and Fostel (2008) , Adrian and Boyarchenko (2012) , and Moreira and Savov (2013) . 51 For instance, Garleanu and Pedersen (2011) build a dynamic stochastic general equilibrium model with margin constraints, which correspond to a “debt constraint” in our langua”
Bank Capital Redux: Solvency, Liquidity, and Crisis (2017, unknown): “As defined in Basel III (Basel Committee on Banking Supervision (2011)), paragraph 52, Common Equity Tier 1 capital consists of the sum of the following elements: (1) common shares issued by the bank that meet the criteria for classification as common shares for regulatory purposes (or the equivalen”
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).”
Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions (2016, unknown): “…(through a reduction in moral hazard by having more ”skin in the game”) or charge a higher loan rate due to the higher cost of bank capital (Morrison and White (2005), Adrian and Shin (2010), Shleifer and Vishny (2010), Adrian and Boyarchenko (2012), Jeanne and Korinek (2013), Malherbe (2015)).”
Financial Frictions and the Wealth Distribution (2019, unknown): “First, we follow the macrofinance literature pioneered by Basak and Cuoco (1998), Adrian and Boyarchenko (2012), He and Krishnamurthy (2012, 2013), and Brunnermeier and Sannikov (2014), among others. As we mentioned before, most of these papers only consider between-agents heterogeneity, but no with”
Uncertainty Shocks and Balance Sheet Recessions (2017, unknown): “They 4 Adrian and Boyarchenko (2012) and Gertler et al. (2012) also study financial crises in settings with incomplete contracts. uncertainty shocks and balance sheet recessions 2043 find that each extra dollar of collateral increases investment by $0.06.”
A Macroeconomic Framework for Quantifying Systemic Risk (2019, unknown): “where Pt is the pricing of housing, and Dt is the equilibrium rental rate given in (3).”