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Hedge Funds as Liquidity Providers : Evidence from the Lehman Bankruptcy
Aragon, George O. - 2009
Using the September 15, 2008 bankruptcy of Lehman Brothers as an exogenous shock to funding costs, we show that hedge … funds act as liquidity providers. Hedge funds using Lehman as prime broker could not trade after the bankruptcy, and these …-connected hedge funds in turn experienced greater declines in market liquidity following the bankruptcy than other stocks; and, the …
Persistent link: https://www.econbiz.de/10012463314
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On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios
Raddatz, Claudio - 2011
This paper uses micro-level data on mutual funds from different financial centers investing in equity and bonds to study how investors and managers behave and transmit shocks across countries. The paper finds that the volatility of mutual fund investments is driven quantitatively by both the...
Persistent link: https://www.econbiz.de/10012461300
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Transparency, Risk Management and International Financial Fragility
Draghi, Mario - 2003
Discussions of financial risk often fail to distinguish between risks that are consciously borne and those that are not. To understand the breeding conditions for financial crises the prime focus of concern should not be simply on large risk-taking per se, but on the unintended, or unanticipated...
Persistent link: https://www.econbiz.de/10012468892
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Financial Dampening
Wieland, Johannes F. - 2016
We propose a novel mechanism, "financial dampening," whereby loan retrenchment by banks attenuates the effectiveness of monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank holding companies (BHCs). We derive an IV-strategy...
Persistent link: https://www.econbiz.de/10012456534
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Bailouts, the Incentive to Manage Risk, and Financial Crises
Panageas, Stavros - 2009
A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit guarantee, firm shareholders have an incentive to increase volatility in order to exploit the...
Persistent link: https://www.econbiz.de/10012463592
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Optimal Illiquidity
Beshears, John - 2020
We calculate the socially optimal level of illiquidity in an economy populated by households with taste shocks and present bias (Amador, Werning, and Angeletos 2006). The government chooses mandatory contributions to respective spending/savings accounts, each with a different pre-retirement...
Persistent link: https://www.econbiz.de/10012481314
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Is Post-Crisis Bond Liquidity Lower?
Anderson, Mike - 2017
Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …
Persistent link: https://www.econbiz.de/10012455364
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The Real Effects of Liquidity During the Financial Crisis : Evidence from Automobiles
Benmelech, Efraim - 2016
crisis was caused in part by a credit supply shock driven by the illiquidity of the most important providers of consumer …
Persistent link: https://www.econbiz.de/10012456527
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Funding Liquidity without Banks : Evidence from a Shock to the Cost of Very Short-Term Debt
Restrepo, Felipe - 2017
more than long-term credit. Firms responded by cutting their short-term loans for liquidity management purposes and …, firms increase cash and cut investment. Thus, trade credit offers a substitute source of liquidity that can insulate some … firms from bank liquidity shocks …
Persistent link: https://www.econbiz.de/10012455503
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Global Banks and International Shock Transmission : Evidence from the Crisis
Cetorelli, Nicola - 2010
examine the relationships between adverse liquidity shocks on main developed-country banking systems to emerging markets … resulting from the funding shock to their balance sheet induced by the decline in interbank, cross-border lending. Policy …
Persistent link: https://www.econbiz.de/10012462678