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Page 1. NBER WORKING PAPER SERIES DECIPHERING THE LIQUIDITY AND
CREDIT CRUNCH 2007-08 Markus K. Brunnermeier Working Paper 14612
http://www.nber.org/papers/w14612 NATIONAL BUREAU OF ECONOMIC ...
D Abreu… - Econometrica, 2003 - Wiley Online Library
Page 1. Econometrica, Vol. 71, No. 1 (January, 2003), 173–204 BUBBLES AND CRASHES
By Dilip Abreu and Markus K. Brunnermeier1 We present a model in which an asset bubble
can persist despite the presence of ratio- nal arbitrageurs. ...
Page 1. The Fundamental Principles of Financial Regulation Markus Brunnermeier, Princeton
University Andrew Crocket, JPMorgan Chase Charles Goodhart, London School of Economics
Martin Hellwig, Max Planck Institute Avinash D. Persaud, Chairman. ...
Page 1. Asset Pricing under Asymmetric Information Bubbles, Crashes, Technical
Analysis, and Herding Markus K. Brunnermeier Page 2. Page 3. "This book develops
the conceptual foundations required for the analysis of markets ...
Skip to Main Content. ...
Page 1. NBER WORKING PAPER SERIES OPTIMAL EXPECTATIONS Markus K.
Brunnermeier Jonathan A. Parker Working Paper 10707 http://www.nber.org/papers/
w10707 NATIONAL BUREAU OF ECONOMIC RESEARCH ...
D Abreu… - Journal of Financial Economics, 2002 - Elsevier
Page 1. NBER WORKING PAPER SERIES CARRY TRADES AND CURRENCY
CRASHES Markus K. Brunnermeier Stefan Nagel Lasse H. Pedersen Working Paper
14473 http://www.nber.org/papers/w14473 NATIONAL BUREAU ...
S Huddart, JS Hughes… - Journal of Accounting and …, 1999 - Elsevier
We use a rational expectations model to examine how public disclosure requirements affect
listing decisions by rent-seeking corporate insiders, and allocation decisions by liquidity
traders seeking to minimize trading costs. We find that exchanges competing for trading ...
MK Brunnermeier… - Review of Financial Studies, 2008 - Soc Financial Studies
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Page 1. NBER WORKING PAPER SERIES DO WEALTH FLUCTUATIONS
GENERATE TIME-VARYING RISK AVERSION? MICRO-EVIDENCE ON
INDIVIDUALS' ASSET ALLOCATION Markus K. Brunnermeier Stefan Nagel ...
M Brunnermeier… - Unpublished manuscript, …, 2010 - scholar.princeton.edu
Abstract This paper studies the full equilibrium dynamics of an economy with financial
frictions. Due to highly non-linear amplification effects, the economy is prone to instability
and occasionally enters volatile episodes. Risk is endogenous and asset price ...
Page 1. NBER WORKING PAPER SERIES OPTIMAL BELIEFS, ASSET PRICES, AND THE
PREFERENCE FOR SKEWED RETURNS Markus K. Brunnermeier Christian Gollier Jonathan
A. Parker Working Paper 12940 http://www.nber.org/papers/w12940 ...
MK Brunnermeier - Review of Financial Studies, 2005 - Soc Financial Studies
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[CITATION] Bubbles
MK Brunnermeier - The New Palgrave Dictionary of Economics, 2008
Page 1. NBER WORKING PAPER SERIES LEADERSHIP, COORDINATION AND
MISSION-DRIVEN MANAGEMENT Patrick Bolton Markus K. Brunnermeier Laura
Veldkamp Working Paper 14339 http://www.nber.org/papers/w14339 ...
[CITATION] De-ciphering the credit crisis of 2007
M Brunnermeier - Journal of Economic Perspectives, 2008
Page 1. NBER WORKING PAPER SERIES A NOTE ON LIQUIDITY RISK
MANAGEMENT Markus K. Brunnermeier Motohiro Yogo Working Paper 14727
http://www.nber.org/papers/w14727 NATIONAL BUREAU OF ECONOMIC ...
Page 1. Risk Topography Markus K. Brunnermeier, Gary Gorton, and Arvind
Krishnamurthy* First Draft: March 30, 2011 This Draft: May 31, 2011 Abstract The
aim of this paper is to conceptualize and design a risk topography ...
[CITATION] Forthcoming.“Market Liquidity and Funding Liquidity.”
M Brunnermeier… - Review of Financial studies
MK Brunnermeier - London School of Economics, Financial Markets …, 1998 - lse.ac.uk
Page 1. _____ FINANCIAL MARKETS GROUP AN ESRC RESEARCH
CENTRE _____ LONDON SCHOOL OF ECONOMICS ...
[CITATION] J. Parker, 2007. Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns
M Brunnermeier… - American Economic Review
Page 1. 1 COMPLEXITY IN FINANCIAL MARKETS Markus K. Brunnermeier Princeton
University Martin Oehmke Columbia University CURRENT DRAFT: Septermber 10,
2009 FIRST DRAFT: September 15, 2008 Abstract Should ...
Downloadable (with restrictions)! We present a model in which an asset bubble can persist despite
the presence of rational arbitrageurs. The resilience of the bubble stems from the inability of
arbitrageurs to temporarily coordinate their selling strategies. This synchronization problem ...
Page 1. Buy on Rumors - Sell on News Markus K. Brunnermeier I Princeton University †
October 11, 2001 Abstract This paper shows that a trader who receives a leaked signal prior
to a public announcement can exploit this private information twice. ...
[CITATION] Funding liquidity and market liquidity
MK Brunnermeier… - 2006 - working paper, Princeton University
Page 1. Click to edit Master title style Thoughts on a New Financial Architecture Markus K.
Brunnermeier Princeton University Page 2. Click to edit Master title style ▪ What went wrong? ▪
What are the challenges? ▪ How can we improve the financial architecture? ▪ 10 point plan ...
[CITATION] The fundamental principles of financial regulation. 11th Geneva Report on the World Economy
M Brunnermeier, A Crockett, C Goodhart… - … Conference Draft. London: …, 2009
Page 1. _____ FINANCIAL MARKETS GROUP AN ESRC RESEARCH
CENTRE _____ LONDON SCHOOL OF ECONOMICS ...
Page 1. NBER WORKING PAPER SERIES AN ECONOMIC MODEL OF THE PLANNING
FALLACY Markus K. Brunnermeier Filippos Papakonstantinou Jonathan A. Parker
Working Paper 14228 http://www.nber.org/papers/w14228 ...
MK Brunnermeier - … and Financial Regulation: Key Issues for …, 2009 - books.google.com
Page 105. Financial Crises: Mechanisms, Prevention and Management1 Markus K.
Brunnermeier Princeton University The recent financial turmoil has led to disruptions in credit
flow second only to the one during the Great Depression in the 1930s. ...
[CITATION] CoVaR Federal Reserve Bank of New York
T Adrian… - Staff Reports, 2010
MK Brunnermeier, T Eisenbach… - Unpublished, Princeton …, 2011 - dklevine.com
Page 1. Macroeconomics with Financial Frictions: A Survey Markus K. Brunnermeier,
Thomas M. Eisenbach and Yuliy Sannikov ∗ January 2012 Abstract This article
surveys the macroeconomic implications of financial frictions. ...
Page 1. _____ FINANCIAL MARKETS GROUP AN ESRC RESEARCH
CENTRE _____ LONDON SCHOOL OF ECONOMICS ...
[CITATION] others. 2009
M Brunnermeier - The Fundamental Principles of Financial Regulation
Page 254. 9 Economists' Perspectives on Leadership Patrick Bolton, Markus K.
Brunnermeier, and Laura Veldkamp Introduction It is fair to say that leadership in
organizations is not a topic that has received a lot of attention by economists. ...
MK Brunnermeier - Journal of the European Economic …, 2004 - Wiley Online Library
Page 1. LEARNING TO REOPTIMIZE CONSUMPTION AT NEW INCOME LEVELS:
A RATIONALE FOR PROSPECT THEORY Markus K. Brunnermeier Princeton
University Abstract This paper provides a theoretical rationale ...
[CITATION] «Bubbles» en The New Palgrave Dictionary of Economics
MK Brunnermeier, L Blume… - Segunda Edição. Palgrave Macmillan, 2008
MK Brunnermeier, G Dong… - Princeton University and …, 2011 - scholar.princeton.edu
... Louis for helpful comments and discussions. All errors remain our responsibility. Corresponding
author: Markus Brunnermeier, Princeton University, 26 Prospect Avenue, Princeton, NJ 08540,
markus@princeton.edu. Page 2. 1 “These banks have become trading operations. ...
T Adrian… - … Reserve Bank of New York Staff …, 2009 - tilburguniversity.edu
... CoVaR: A Method for Macroprudential Regulation Tobias Adrian and *Markus Brunnermeier
We are grateful to the following institutions for their financial and organizational support: ESI,
EBC, the Faculty of Economics of Tilburg University and Venice International University ...
Page 1. www.bundesbank.de Conference on “The Future of Banking Regulation” Frankfurt am
Main, 24-25 September 2009 Tobias Adrian Federal Reserve Bank of New York Markus K.
Brunnermeier Princeton University “CoVaR“ Page 2. CoVaR Tobias Adrian) ...
Downloadable (with restrictions)! This paper considers a two country economy similar to that
in Obstfeld and Rogoff (1995). We build on their model by distinguishing between sticky retail
prices, sticky wholesale prices and sticky wages. We find that conclusions about whether monetary ...
Page 1. The I Theory of Money ∗ Markus K. Brunnermeier † and Yuliy Sannikov ‡
first version: Oct. 10, 2010 this version: June 5, 2011 Abstract This paper provides
a theory of money, whose value depends on the functioning ...
Page 1. Hedge Fund Tail Risk Tobias Adrian$ Federal Reserve Bank of New York Markus
K. Brunnermeier% Princeton University Hoai&Luu Nguyen# Federal Reserve Bank of New
York This Version: February 1, 2010 First Version: July 28, 2007 ...
[CITATION] 'Deciphering the 2007-2008 liquidity and credit crunch'2008
MK Brunnermeier - Journal of Economic Perspectives, forthcoming
[CITATION] Deciphering the 2007 Liquidity Crunch
M Brunnermeier - presentation at the International Monetary Fund's …, 2007
[CITATION] Bubbles, entry in The New Palgrave Dictionary of Economics, edited by Steven Durlauf and Lawrence Blume
M Brunnermeier - 2009
[CITATION] qMarket Liquidity and Funding Liquidity, rReview of Financial Studies, forthcoming
M Brunnermeier… - 2005
[CITATION] Hedge Fund Fat Tail Risk
T Adrian… - 2008 - Working paper
[CITATION] The Fundamental Principles of Financial Regulation
A Crockett, M Brunnermeier, C Goodhart… - Geneva Reports on the …, 2009
[CITATION] Deciphering the 2007-2008 Liquidity and Credit Crunch', paper presented at the conference
MK Brunnermeier - The Role of Money Markets”, New York, 2008
[CITATION] Inflation Illusion, Credit and Asset Prices: A Comment
MK Brunnermeier - Asset Prices and Monetary Policy, NBER, forthcoming, 2007
[CITATION] Buy on Rumors-Sell on News: A Manipulative Trading Strategy
BK Markus - 2000 - FMG Discussion Paper
[CITATION] Market Liquidity and Funding Liquidity', NBER Working Paper# 12939
MK Brunnermeier… - 2007
[CITATION] Financial Frictions and the Macroeconomy
MK Brunnermeier… - 2009 - Working Paper
Page 26. 15 Markus K. Brunnermeier, Luis Garicano, Philip R. Lane, Marco Pagano,
Ricardo Reis, Tano Santos, David Thesmar, Stijn Van Nieuwerburgh, and Dimitri
Vayanos Euro-nomics. com and CEPR ESBies: A realistic ...
[CITATION] 2oo8, Carry Trades and Currency Crashes
MK Brunnermeier, S Nagel… - NBER Macroeconomics Annual 2oo8
[CITATION] QDeciphering the Liquidity and Credit Crunch 2oo7 o8
MK Brunnermeier - R Journal of Economic Perspectives, 2oo9, 2008
[CITATION] forthcoming, The maturity rat race
M Brunnermeier… - Journal of Finance, 2012
[CITATION] forthcoming," De-Ciphering the Credit Crisis of 2007,"
M Brunnermeier - Journal of Economic Perspectives, 2009
[CITATION] Asset Pricing Under Asymmetric Information. Bubble, Crises, Technical Analysis and Herding
B Markus - 2001 - Oxford University Press, Oxford
[CITATION] K., and Jonathan A. Parker, 2004,“Optimal Expectations,”
M Brunnermeier - NBER Working Paper
[CITATION] jOptimal Expecta% tions, k American Economic Review
M Brunnermeier… - 2005 - September
C Julliard… - NBER Working Paper No. W12810, 2006 - papers.ssrn.com
Abstract: A reduction in inflation can fuel run-ups in housing prices if people suffer from
money illusion. For example, investors who decide whether to rent or buy a house by simply
comparing monthly rent and mortgage payments do not take into account that inflation ...
Page 1. LIQUIDITY MISMATCH Markus Brunnermeier, Gary Gorton, and Arvind
Krishnamurthy Princeton and NBER, Yale and NBER, Northwestern and NBER Page
2. Objective Liquidity Mismatch Brunnermeier, Gorton, Krishnamurthy ...
[CITATION] Hedge Funds and the Technology Bubble (Digest Summary)
Downloadable (with restrictions)! This survey summarises the recent theoretical developments
in understanding price processes. After introducing the rational expectations equilibria (REE)
concept the limitations of this approach are shown. We illustrate the relationship between ...
Page 1. Financial Crisis Report For Financial Crisis Inquire Commission by Markus K.
Brunnermeier Part I: Deciphering the Liquidity and Credit Crunch (based on JEP article) Part
II: Special Section on Derivatives, Collateralized Lending and Complex Financial Instruments ...
Page 1. Predatory Short Selling∗ Markus K. Brunnermeier† Princeton University Martin Oehmke‡
Columbia University This version: November 2008 PRELIMINARY Abstract Financial institutions
may be vulnerable to predatory short selling. When the stock ...
MK Brunnermeier… - ECB Colloquium in Honor of Lucas …, 2010 - princeton.edu
Page 1. Optimizing the Currency Area Markus K. Brunnermeier, Princeton University
“The Great Financial Crisis: Lessons for Financial Stability and Monetary Policy” ECB
Colloquium in Honor of Lucas Papademos 20. May 2010 (Session 1) ...
MK Brunnermeier - Asset Pricing under Asymmetric …, 2001 - ingentaconnect.com
[CITATION] The Fundamental Principles of Financial Regulation
B Markus, A Crockett, C Goodhart, M Hellwig… - Geneva Reports on the …, 2009
Abstract: This paper proposes a welfare criterion for economies in which agents have
heterogeneously distorted beliefs. Instead of taking a stand on agents' beliefs, our criterion
asserts an allocation to be belief-neutral inefficient if it is inefficient under any convex ...
T Adrian… - Risk, 1908 - nber.org
Page 1. Risk Spillovers among Financial Institutions∗ Tobias Adrian† Federal
Reserve Bank of New York Markus K. Brunnermeier‡ Princeton University This
Version: July 4, 2008 - Preliminary and Incomplete - Abstract This ...
Abstract: The consumer lending “revolution”-with its promise of the democratisation of credit-
has been followed by the credit crunch. The credit crunch has stimulated both immediate
regulatory initiatives and more fundamental reflection on consumer credit regulation. As ...
Page 1. Contrasting Different Forms of Price Stickiness: Exchange Rate Overshooting and Beggar
Thy Neighbor Policy1 Markus K. Brunnermeier2 Princeton University Department of Economics
Clemens Grafe3 London School of Economics Centre for Economic Performance ...
NATIONAL BUREAU OF ECONOMIC RESEARCH. NATIONAL BUREAU OF ECONOMIC
RESEARCH. HOME PAGE. Introduction to "Systemic Risk and Macro Modeling". ...
Page 1. The I-Theory of Money Preliminary and Incomplete Markus K. Brunnermeier ∗
and Yuliy Sannikov † May 17, 2011 Abstract This paper provides a theory of money, whose
value depends on the functioning of the intermediary sector. ...
... Dirk Bergemann, Yale University, Chair Marco Battaglini, Princeton University (Political Economy)
Roland Benabou, Princeton University (Behavioral Economics) Markus Brunnermeier, Princeton
University (Financial Economics) Xiahong Chen, Yale University (Theoretical ...
MK Brunnermeier - Asset Pricing under Asymmetric …, 2001 - ingentaconnect.com
MK Brunnermeier - Asset Pricing under Asymmetric …, 2001 - ingentaconnect.com
DP6183 Money Illusion and Housing Frenzies. Author(s ...
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[CITATION] Liquidity, Macroeconomics, and Asset Prices-A Note on Liquidity Risk Management
ABSTRACT: One explanation for the apparent “excess volatility” and predictability of stock
returns is that fluctuations in wealth generate counter-cyclical variation in risk aversion, as,
for example, in models with additive habit formation preferences. While these ...
[CITATION] Credit, Macroeconomics, and Bubbles
MK Brunnermeier - Annual Review of …, 2012 - … Reviews 4139 El Camino Way, PO …
S Nagel… - 2007 - papers.ssrn.com
Abstract: We use data from the PSID to investigate how households' portfolio allocations
change in response to wealth fluctuations. Persistent habits, consumption commitments, and
subsistence levels can generate time-varying risk aversion with the consequence that ...
Page 434. Leonardo Bartolini International Research Function Federal Reserve
Bank of New York 33 Liberty Street New York, NY 10045-0001 Markus K.
Brunnermeier Department of Economics Princeton University Princeton ...
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MK Brunnermeier - Asset Pricing under Asymmetric …, 2001 - ingentaconnect.com
Page 1. Leadership, Coordination and Corporate Culture ∗ Patrick Bolton † Columbia
University Markus K. Brunnermeier ‡ Princeton University Laura Veldkamp § New
York University August 15, 2011 ∗ This paper was previously ...
S Nagel… - AFA 2004 San Diego Meetings; EFA …, 2003 - papers.ssrn.com
Abstract: The efficient markets hypothesis is based on the presumption that rational
speculators would find it optimal to attack price bubbles and thus exert a correcting force on
prices. We examine stock holdings of hedge funds during the time of the Technology ...
Abstract The aim of this paper is to conceptualize and design a risk topography that outlines
a data acquisition and dissemination process that informs policymakers, researchers and
market participants about systemic risk. Our approach emphasizes that systemic risk (i) ...
... download). 6. Systemic Risk Exposures: A 10-by-10-by-10 Approach: Darrell Duffie
(bibliographic info) (download). 7. Liquidity Mismatch: Markus Brunnermeier, Gary
Gorton, Arvind Krishnamurthy (bibliographic info). 8. Repo ...
[CITATION] Money Illusion and Housing Frenzies (Digest Summary)
TR Riddiough, C Spatt, D Acemoglu, E Glaeser… - 2011 - papers.ssrn.com
Abstract: At this year's conference two panel discussions have been organized to address
the most recent financial crisis and the associated policy implications. We recommend that
you highlight your program schedule to ensure your participation in these engaging panel ...
Abstract: At this year's conference two panel discussions have been organized to address
the most recent financial crisis and the associated policy implications. We recommend that
you highlight your program schedule to ensure your participation in these engaging panel ...
S Claessens, KJ Forbes, FL Sell, U Mäki… - The Economic …, 2002 - res.org.uk
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