Liquidity asset pricing
Holmstrom, B. and J. Tirole, 1998, “Private and Public Supply of Liquidity,'' Journal of Political Economy, 1006-1, 1-40
Holmstrom, B. and J. Tirole (2008), “Inside and Outside Liquidity”, mimeo
Holmstrom, B., and J. Tirole. "Financial Intermediation, Loanable Funds, and the Real Sector." Quarterly Journal of Economics 112, no. 3(1997): 663-691
Allen F. and D. Gale (2004) “Financial fragility, liquidity and asset prices” Journal of the European EconomicAssociation, 2 No. 6, pp. 1015‐1048
Allen-Gale (1994), “Limited Market Participation and Volatility of Asset Prices”,
Liquidity dry-ups
Brunnermeier, M. and Pedersen, L. (2009): “Market Liquidity and Funding Liquidity”, The Review of Financial Studies, 2009, 22(6), 2201-2238
Morris, S. and Shin, H. (2004): “Liquidity Black Holes”, Review of Finance 8, 1-18
Antoine Malherbe (2010), «Self-fulfilling liquidity dry-ups»,
Gary B. Gorton (2009), “Information, Liquidity, and the (Ongoing) Panic of 2007”, NBER Working Paper 14649
Acharya, Gale & Yorulmazer (2009), “Rollover Risk and Market Freezes”,
Bolton-Santos-Scheinkman (2010), “Outside and Inside Liquidity”,
Contagion and systemic risk
Franklin Allen & Douglas Gale (2001), "Financial Contagion," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 1-33, February
Freixas, Xavier & Parigi, Bruno M & Rochet, Jean-Charles (2000), "Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(3), pages 611-38, August
Franklin Allen & Ana Babus & Elena Carletti (2010), "Financial Connections and Systemic Risk," NBER Working Papers 16177, National Bureau of Economic Research, Inc
Adam Zawadowski (2009), “Entangled Financial Systems”
Real business cycles with financial frictions
Brunnermeier and Sannikov (2010),“A Macroeconomic Model with a Financial Sector”,
Jermann and Quadrini (2009)“Macroeconomic Effects of Financial Shocks”,
Pablo Curlat (2009) “Lemons, Market Shutdowns, and Learning”,
Cooley, Marimon & Quadrini (2004), “Aggregate Consequences of Limited Contract Inforceability” Journal of Political Economics 2004,
Cordoba & Ripoll (2003), “Credit Cycle Redux” Journal of International Economics 2003,
Eisfeldt & Rampini (2006),“Capital Reallocation and Liquidity” Journal of Monetary Economics 2006,
He and Krishnamurthy (2008),“A Model of Capital and Crisis” NBER working paper 2008,
Guido Lorenzoni(2008), “Inefficient Credit Booms», Review of Economic Studies, 75 (3),July 2008,
News, information and business cycles
Nir Jaimovich & Sergio Rebelo (2006),“Can News About the Future Drive the Business Cycle?”NBER Working Papers 12537 ,
Veldkamp, Laura L., (2005),“Slow boom, sudden crash”Journal of Economic Theory ,
Beaudry, Paul & Portier, Franck, (2004). “An Exploration into Pigou's Theory of Cycles” ,
George-Marios Angeletos and with Jennifer La'O, (2009), “Noisy Business Cycles», NBER Macroeconomics 2009,
Guido Lorenzoni(2009),“A Theory of Demand Shocks», American Economic Review, Dec. 2009,
Endogenous fluctuations
Aghion-Banerjee-Piketty(1999), “Dualism and Macroeconomic Volatility”,
Suarez, Javier & Sussman, Oren, (1997),“Endogenous Cycles in a Stiglitz-Weiss Economy”,Journal of Economic Theory ,
Bubbles
Tirole, J.(1985), “Asset Bubbles and Overlapping Generations”, Econometrica 53 (6), 1499-1528,
Caballero, R. and A. Krishnamurthy, (2006), “Bubbles and Capital Flow Volatility: Causes and Risk Management”, Journal of Monetary Economics 53(1), 33-53,
Alberto Martin & Jaume Ventura, (2010), "Theoretical Notes on Bubbles and the Current Crisis,"
Kraay, A., and J. Ventura, (2007), “The Dot-Com Bubble, the Bush Deficits, and the US Current Account, in G7 Current Account Imbalances: Sustainability and Adjustment”,
Farhi, E. and J. Tirole, (2009), “Bubbly Liquidity”, working paper, Harvard,
Monetary policy
Freixas-Jorge (2008), “The Role of Interbank Markets in Monetary Policy: A Model With Rationing”,
Kiyotaki-Moore (2008), “Liquidity, Business Cycles and Monetary Policy”,
Gertler-Karadi (2009), “A Model of Unconventional Monetary Policy”
Gertler and Kyotaki (2010), “Financial Intermediation and Credit Policy in Business Cycle Analysis”,
Cúrdia,V. and M. Woodford (2009), “Conventional and Unconventional Monetary Policy”
Cúrdia,V. and M. Woodford (2010), “The Central-Bank Balance Sheet as an Instrument of Monetary Policy”, working paper, Columbia University
Bebchuk and Goldstein (2009), “Self-Fulfilling Credit Market Freezes”,
Fiorella de Fiore and Oreste Tristani (2009), “Optimal Monetary Policy in a Model of the Credit Channel”,
Lawrence Christiano, Martin Eichenbaum, and Sergio Rebelo (2009), "When is the Government Spending Multiplier Large?"
Jean Boivin & Michael T. Kiley & Frederic S. Mishkin, (2010), “How Has the Monetary Transmission Mechanism Evolved Over Time?,” NBER Working Papers 15879,
International
Caballero, Ricardo J., Emmanuel Farhi, and Pierre-Olivier Gourinchas. (2008), “Financial Crash, CommodityPrices, and Global Imbalances.” Brookings Papers on Economic Activity, Fall, pp 1–55.
Caballero, Ricardo J., and Arvind Krishnamurthy. (2009), “Global Imbalances and Financial Fragility,”American Economic Review, May.
Maya Eden (2010), “Financial Distortions and the Distribution of Global Volatility»,
Olivier Jeanne & Anton Korinek (2010), “Managing Credit Booms and Busts: A Pigouvian Taxation Approach,” NBER Working Papers 16377,
Olivier Jeanne (2009), “The Global Liquidity Trap",
Devereux, M.B. and J. Yetman (2010), “Financial Deleveraging and the International Transmission of Shocks”, NBER Working Paper No. 16226,
Dedola, Luca and Giovanni Lombardo (2010), “Financial Frictions, Financial Integration and the International Propagation of Shocks,” mimeo
Mendoza, Enrique and Vincenzo Quadrini (2010), "Financial Globalization, Financial Crises and Contagion," Journal of Monetary Economics, forthcoming,
Pavlova, Anna and Roberto Rigobon (2008), "The Role of Portfolio Constraints in the International Propagation of Shocks," Review of Economic Studies 75, 1215-1256,
Kyle, Albert S. and Wei Xiong (2001), “Contagion as a Wealth Effect”, The Journal of Finance, 56(4), 1401-1440,