Frédéric Malherbe is with the London Business School. I am deeply indebted to an anonymous referee, an Associate Editor, and Campbell Harvey (the Editor) for detailed feedback that greatly improved the paper. This work is based on the first chapter of my PhD dissertation at ECARES, Université libre de Bruxelles. I am particularly grateful to Mathias Dewatripont and Philippe Weil, and I thank Jean-Pierre Benoit, Laurent Bouton, Micael Castanheira, Fabio Castiglionesi (discussant), Gregory De Walque, Peter Feldhütter, Marjorie Gassner, Piero Gottardi, Bengt Holmström, Georg Kirchsteiger, Thomas Laubach, Patrick Legros, Stephen Morris, David Myatt, Emre Ozdenoren, Helene Rey, Jean-Charles Rochet, Andrew Scott, Joel Shapiro, Rhiannon Sowerbutts (discussant), Paolo Surico, Jean Tirole, Jaume Ventura, Raf Wouters, and Vlad Yankov (discussant), as well as seminar participants at the National Bank of Belgium, Toulouse School of Economics, Universita Carlos III, Universitat Autonoma Barcelona, Massachusetts Institute of Technology, Boston University, University of Amsterdam, London Business School, Queen Mary University of London, Universitat Pompeu Fabra (CREI), Tilburg University, McGill University, London School of Economics, Universtité Catholique de Louvain, Bank of England, European University Institute, Columbia Business School, Ecole Polytechnique, and participants at the EEA Congress in Barcelona, the ENTER Jamboree at University College London, the CEPR Conference on Procyclicality and Financial Regulation in Tilburg, the Bundesbank/European Banking Center/European Business School conference on Liquidity and Liquidity Risk in Frankfurt, the COOL Macro Conference at Birkbeck, the SAET Conference in Faro, the ESSET in Gerzensee, and the EFA meeting in Stockholm for insightful comments. I also thank National Bank of Belgium for its financial support and hospitality.
Self-Fulfilling Liquidity Dry-Ups
Version of Record online: 17 MAR 2014
© 2014 the American Finance Association
The Journal of Finance
Volume 69, Issue 2, pages 947–970, April 2014
How to Cite
MALHERBE, F. (2014), Self-Fulfilling Liquidity Dry-Ups. The Journal of Finance, 69: 947–970. doi: 10.1111/jofi.12063
- Issue online: 17 MAR 2014
- Version of Record online: 17 MAR 2014
- Accepted manuscript online: 15 MAY 2013 12:00AM EST
- Manuscript Accepted: 20 APR 2013
- Manuscript Received: 15 AUG 2011
- National Bank of Belgium
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