Financial Fragility, Liquidity and Asset Prices

By Franklin Allen, Douglas Gale. 2004

369 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fb9854b77118321ef8efe2e91629f0e3c89b0174

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Citations in the corpus

Mark-to-Market Accounting and Liquidity Pricing (2008, background): “As in Allen and Gale (2004b) and Allen and Carletti (2006) the banks can use the market for the long asset at date 1 to reallocate liquidity.”
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity (2011, neutral): “…such as the structure of ﬁnancial institutions, as in Diamond and Rajan (2005), He and Krishnamurthy (2008b) and Duﬃe (2009), that of markets, as in Allen and Gale (2003) and Allen, Carletti, and Gale (2009), or market imperfections as in Mancini Griﬀoli (2009) and Heider, Hoerova, and…”
An empirical analysis of macroeconomic and bank-specific factors affecting liquidity of Indian banks (2016, background): “However, an unexpected increase in liquidity demand forces banks to sell their illiquid assets at lower prices resulting in losses and increased risk (Allen & Gale, 2004; Allen & Santomero, 2001).”
Bailouts and Financial Fragility (2016, neutral): “6 See, for example, Postlewaite and Vives (1987), Cooper and Ross (1998), and Allen and Gale (2004), among many others. Gale and Vives (2002) assume that banking contracts are fixed in nominal terms, but allow the central bank to “bail out” banks by raising the price level, which lowers the real val”
Illiquidity Contagion and Liquidity Crashes (2014, neutral): “Allen and Gale (2004) define a financial market as being fragile if “small shocks have disproportionately large effects.”
Fire Sales in a Model of Complexity (2009, background): “amount (Q1 [3];Q2 [ 3 ]) that it would pay in the free-information case, while the banks”
A model of a systemic bank run (2009, positive): “The cash-in-the-market pricing scenario of Allen and Gale (1994) or Allen and Gale (2007), chapter 4, corresponds to an extreme version of the scenario considered here, with the non-expert investors all bidding zero for all assets and where the core banks cannot raise more liquidity than o.”
Interbank market liquidity and central bank intervention (2009, methodology): “analysis is based on a standard banking model developed in Allen and Gale (2004a, 2004b) ”