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~person:"McAndrews, James Joseph"
~person:"Wolfe, Simon"
~subject:"Liquidity effect"
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Liquidity effect
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Investigating Risk Contagion Initiated by Endogenous Liquidity Shocks : Evidence from the US and Eurozone Interbank Market
Eross, Andrea
-
2018
This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil periods. We show that an endogenous model with time-varying transition probabilities is effective in describing the propagation of liquidity shocks within the interbank market,...
Persistent link: https://www.econbiz.de/10012936358
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2
Investigating risk contagion initiated by endogenous liquidity shocks : evidence from the US and eurozone interbank markets
Eross, Andrea
;
Urquhart, Andrew
;
Wolfe, Simon
- In:
The European journal of finance
25
(
2019
)
1
,
pp. 35-53
Persistent link: https://www.econbiz.de/10012206955
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3
Liquidity-saving mechanisms
Martin, Antoine
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003519792
Saved in:
4
Liquidity-saving mechanisms
Martin, Antoine
;
McAndrews, James Joseph
- In:
Journal of monetary economics
55
(
2008
)
3
,
pp. 554-567
Persistent link: https://www.econbiz.de/10003764307
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