The DOI matches its Crossref record; 49 of the 49 references it cites were found in a registry or an index.
The Macroeconomics of Shadow Banking
Abstract
We build a macrofinance model of shadow banking—the transformation of risky assets into securities that are money‐like in quiet times but become illiquid when uncertainty spikes. Shadow banking economizes on scarce collateral, expanding liquidity provision, boosting asset prices and growth, but also building up fragility. A rise in uncertainty raises shadow banking spreads, forcing financial institutions to switch to collateral‐intensive funding. Shadow banking collapses, liquidity provision shrinks, liquidity premia and discount rates rise, asset prices and investment fall. The model generates slow recoveries, collateral runs, and flight‐to‐quality effects, and it sheds light on Large‐Scale Asset Purchases, Operation Twist, and other interventions.
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Cites
Bank Runs, Deposit Insurance, and Liquidity
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Brunnermeier, M. K., & Pedersen, L. H. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn098 · Cited by 4,835
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Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008
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Adrian, T., & Shin, H. S. (2010) · Journal of Financial Intermediation · doi:10.1016/j.jfi.2008.12.002 · Cited by 2,527
A model of unconventional monetary policy
Gertler, M., & Karadi, P. (2011) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2010.10.004 · Cited by 2,393
Rare Disasters and Asset Markets in the Twentieth Century*
Barro, R. J. (2006) · Quarterly Journal of Economics · doi:10.1162/qjec.121.3.823 · Cited by 2,316
The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis*
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A Macroeconomic Model with a Financial Sector
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Cited by
News implied volatility and disaster concerns
Manela, A., & Moreira, A. (2017) · Journal of Financial Economics · doi:10.1016/j.jfineco.2016.01.032 · Cited by 721
Self-citationFirm Leverage, Consumer Demand, and Employment Losses During the Great Recession*
Giroud, X., & Mueller, H. M. (2017) · The Quarterly Journal of Economics · doi:10.1093/qje/qjw035 · Cited by 406
The Rise of Shadow Banking: Evidence from Capital Regulation
Irani, R. M., Iyer, R., Meisenzahl, R. R., & Peydró, J.-L. (2021) · The Review of Financial Studies · doi:10.1093/rfs/hhaa106 · Cited by 339
Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
Chernenko, S., & Sunderam, A. (2016) · doi:10.3386/w22391 · Cited by 117
Macro, Finance, and Macro Finance: Solving Nonlinear Models in Continuous Time with Machine Learning
Duarte, V. (2017) · SSRN Electronic Journal · doi:10.2139/ssrn.3012602 · Cited by 9
Metadata
- Authors
- MOREIRA, A., & SAVOV, A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2017-08-28
- Volume
- 72
- Issue
- 6
- Pages
- 2381-2432
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3121647758
- Cited by
- 265
- References
- 49
- FWCI
- 31.33
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
