- (2002): “No Contagion, Only Interdependence: Measuring Stock Market Comovements, †The Journal of Finance, 57, 2223–2261.
Paper not yet in RePEc: Add citation now
- (2009b): “The Subprime Panic,†European Financial Management, 15(1), 10–46.
Paper not yet in RePEc: Add citation now
- Abrantes-Metz, Rosa M., Michael Kraten, Albert D. Metz, and Gim S. Seow (2012): “Libor Manipulation?,†Journal of Banking & Finance, 36(1), 136–150.
Paper not yet in RePEc: Add citation now
At-Sahalia, Yacine, Jochen Andritzky, Andreas Jobst, Sylwia Nowak, and Natalia Tamirisa (2012): “Market Response to Policy Initiatives during the Global Financial Crisis,†Journal of International Economics, 87(1), 162–177.
Batten, Jonathan A., Gady Jacoby, and Rose C. Liao (2014): “Corporate yield spreads and real interest rates,†International Review of Financial Analysis, 34(C), 89–100.
Batten, Jonathan, Warren Hogan, and Gady Jacoby (2005): “Measuring Credit Spreads: Evidence from Australian Eurobonds,†Applied Financial Economics, 15(9), 651–666.
- Bernanke, Ben (2012): “Chairman Bernanke’s College Lecture Series, †George Washington University School of Business, available at https://www.federalreserve.gov/aboutthefed/educational-tools/chairmans-lecture-seriesabout. htm.
Paper not yet in RePEc: Add citation now
Contessi, Silvio, Pierangelo De Pace, and Massimo Guidolin (2014): “How Did the Financial Crisis Alter the Correlations of U.S. Yield Spreads?,†Journal of Empirical Finance, 28(C), 362–385.
Del Negro, Marco, Domenico Giannone, Marc P. Giannoni, and Andrea Tambalotti (2017): “Safety, Liquidity, and the Natural Rate of Interest,†Brookings Papers on Economic Activity.
- Diamond, Peter, and Philip Dybig (1983): “Bank Runs, Deposit Insurance, and Liquidity,†Journal of Political Economy, 91(3), 40119.
Paper not yet in RePEc: Add citation now
Duffie, Darrell, and Jeremy C. Stein (2015): “Reforming LIBOR and other Financial Market Benchmarks,†Journal of Economic Perspectives, 29(2), 191–212.
Dungey, Mardi, and Diana Zhumabekova (2001): “Testing for Contagion Using Correlations: Some Words of Caution,†Pacific Basin Working Paper Series No. 2001-09, Federal Reserve Bank of San Francisco.
Dungey, Mardi, Renee Fry, Brenda Gonzalez-Hermosillo, and Vance Martin (2005): “Empirical Modelling of Contagion: A Review of Methodologies,†Quantitative Finance, 5, 9–24.
Faust, Jon, Simon Gilchrist, Jonathan H. Wright, and Egon Zaikrajsek (2013): “Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach, †The Review of Economics and Statistics, 95(5), 1501–1519.
Fender, Ingo, and Martin Scheicher (2009): “The Pricing of Subprime Mortgage Risk in Good Times and Bad: Evidence from the ABX.HE Indices,†Applied Financial Economics, 19(24), 1925–1945.
Forbes, Kristin, and Roberto Rigobon (2001): “Contagion in Latin America: Definitions, Measurement, and Policy Implications,†Economia Journal of the Latin American and Caribbean Economic Association, 1(2), 1–46.
Fouquau, Julien, and Philippe K. Spieser (2015): “Statistical Evidence about LIBOR Manipulation: A Sherlock Holmes Investigation,†Journal of Banking & Finance, 50(C), 632–643.
- Gorton, Gary (2009a): “Information, Liquidity, and the (Ongoing) Panic of 2007,†American Economic Review, 99(2), 567–72.
Paper not yet in RePEc: Add citation now
Gourio, Francois (2014): “Financial Distress and Endogenous Uncertainty,†Federal Reserve Bank of Chicago, manuscript.
Guidolin, Massimo, and Yu Man Tam (2013): “A Yield Spread Perspective on the Great Financial Crisis: Break-Point Test Evidence,†International Review of Financial Analysis, 26(C), 18–39.
Hollander, Hylton, and Guangling Liu (2016): “Credit spread variability in the U.S. business cycle: The Great Moderation versus the Great Recession,†Journal of Banking & Finance, 67(C), 37–52.
Hurn, Stan, Peter C B Phillips, and Shuping Shi (2015): “Change Detection and the Casual Impact of the Yield Curve,†NCER Working Paper No. 107.
Jacoby, Gady, Rose C. Liao, and Jonathan A. Batten (2009): “Testing the Elasticity of Corporate Yield Spreads,†Journal of Financial and Quantitative Analysis, 44(03), 641– 656. Krishnamurthy, Arvind, and Tyler Muir (forthcoming): “Financial Crises and Risk Premia Condition,†Quarterly Journal of Economics.
- Kuo, Dennis, David Skeie, and James Vickery (2012): “A Comparison of LIBOR to Other Measures of Bank,†Federal Reserve Bank of New York, manuscript.
Paper not yet in RePEc: Add citation now
Levitin, Adam, and Susan M. Wachter (2012): “Explaining the Housing Bubble,†Georgetown Law Journal, 100(4), 1177–1258.
Pavlidis, Efthymios, Alisa Yusupova, Ivan Paya, David Peel, Enrique Martnez-Garca, Adrienne Mack, and Valerie Grossman (2016): “Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun,†The Journal of Real Estate Finance and Economics, 53(4), 419–449.
Pesaran, M. Hashem, and Andreas Pick (2007): “Econometric Issues in the Analysis of Contagion,†Journal of Economic Dynamics and Control, 31, 1245–1277.
Phillips, Peter C. B., and Jun Yu (2011): “Dating the Timeline of Financial Bubbles during the Subprime Crisis,†Quantitative Economics, 2(3), 455–491.
- Phillips, Peter C. B., Shuping Shi, and Jun Yu (2015): “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500,†International Economic Review, 56, 1043–1078.
Paper not yet in RePEc: Add citation now