Investment dealer collateral and leverage procyclicality
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00181-018-1553-1.pdf
Reference21 articles.
1. Adrian T, Boyarchenko N (2015) Intermediary leverage cycles and financial stability. Federal Reserve Bank of New York staff report No. 567
2. Adrian T, Shin H (2010) Liquidity and leverage. J Financ Intermed 19:418–437
3. Adrian T, Shin H (2014) Procyclical leverage and value-at-risk. Rev Financ Stud 27:373–403
4. Aymanns C, Farmer J (2015) The dynamics of the leverage cycle. J Econ Dyn Control 50:155–179
5. Baglioni AE, Beccalli AB, Monticini A (2013) Is the leverage of european banks pro-cyclical? Empir Econ 45:1251–1266
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