Marie Hoerova

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

http://www.mariehoerova.net

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

22

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1,610

CROSSREF CITATIONS

1,185

Scholarly Papers (22)

Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

Journal of Financial Economics (JFE), 118, 336-354 (2015)
Number of pages: 53 Posted: 22 Mar 2009 Last Revised: 24 May 2016
Florian Heider, Marie Hoerova and Cornelia Holthausen
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,812 (11,574)
Citation 8

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Interbank market; Endogenous liquidity; Counterparty risk; Asymmetric information; Market break-down; Financial crisis

Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

ECB Working Paper No. 1126
Number of pages: 66 Posted: 12 Dec 2009
Florian Heider, Marie Hoerova and Cornelia Holthausen
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 723 (44,695)
Citation 7

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Financial crisis, Interbank market, Liquidity, Counterparty risk, Asymmetric information

Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

Number of pages: 59 Posted: 05 Apr 2010
Florian Heider, Marie Hoerova and Cornelia Holthausen
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 5 (797,649)
Citation 18
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Asymmetric information, Counterparty risk, Financial crisis, Interbank market, Liquidity

2.
Downloads 2,326 ( 7,859)
Citation 122

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 1,737 (12,405)
Citation 11

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option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

ECB Working Paper No. 1675
Number of pages: 36 Posted: 04 Jul 2014
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 345 (111,235)
Citation 32

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option implied volatility; realized volatility; VIX; variance risk premium; risk aversion; stock return predictability; risk-return trade-off; economic uncertainty; financial instability

The VIX, the Variance Premium and Stock Market Volatility

Netspar Discussion Paper No. 10/2013-035
Number of pages: 36 Posted: 19 Oct 2013
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 202 (192,052)
Citation 1

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option implied volatility, realized volatility, VIX, variance risk premium, risk aversion, stock return predictability, risk-return trade-off, economic uncertainty, financial instability

The VIX, the Variance Premium and Stock Market Volatility

Number of pages: 41 Posted: 28 Apr 2013 Last Revised: 27 Nov 2021
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 42 (531,990)
Citation 37

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3.
Downloads 2,323 ( 7,878)
Citation 230

Risk, Uncertainty and Monetary Policy

Journal of Monetary Economics, Vol. 60, Vol. 7, pp. 771-788, 2013
Number of pages: 34 Posted: 08 Mar 2010 Last Revised: 17 Sep 2015
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2,063 (9,352)
Citation 8

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Monetary policy; Option implied volatility; Risk aversion; Uncertainty; Business cycle

Risk, Uncertainty and Monetary Policy

Netspar Discussion Paper No. 05/2011-102
Number of pages: 42 Posted: 08 May 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 96 (345,637)
Citation 1

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Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle, stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

ECB Working Paper No. 1565
Number of pages: 40 Posted: 12 Aug 2013
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 77 (396,396)
Citation 12

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Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle

Risk, Uncertainty and Monetary Policy

National Bank of Belgium Working Paper No. 229
Number of pages: 63 Posted: 13 Oct 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 60 (453,899)
Citation 9

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Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

Number of pages: 51 Posted: 18 Oct 2010 Last Revised: 22 Oct 2021
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 23 (648,870)

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Risk, Uncertainty and Monetary Policy

Number of pages: 44 Posted: 27 Dec 2010
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 4 (806,085)
Citation 70
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

4.

A Theory of Bank Liquidity Requirements

Columbia Business School Research Paper No. 14-39
Number of pages: 43 Posted: 07 Aug 2014 Last Revised: 15 Apr 2015
Columbia University - Columbia Business School, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,521 (15,552)
Citation 40

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Liquidity regulation, reserve requirements, bank runs, deposit insurance, moral hazard, risk management

What Do Asset Prices Have to Say about Risk Appetite and Uncertainty?

ECB Working Paper No. 1037
Number of pages: 47 Posted: 15 Apr 2009
Geert Bekaert, Marie Hoerova and Martin Scheicher
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 444 (83,139)

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Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics

What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?

Journal of Banking and Finance, Forthcoming
Number of pages: 58 Posted: 20 Jun 2015 Last Revised: 17 Sep 2015
Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Downloads 376 (100,892)
Citation 23

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Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress

Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

Journal of Finance, 71, 1669-1698 (2016)
Number of pages: 80 Posted: 16 Mar 2010 Last Revised: 24 Apr 2020
Bruno Biais, Florian Heider and Marie Hoerova
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 527 (67,407)
Citation 35

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Hedging, Insurance, Derivatives, Moral hazard, Risk management, Counterparty risk, Contagion, Margin requirements

Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

ECB Working Paper No. 1413
Number of pages: 49 Posted: 13 Jan 2012
Bruno Biais, Florian Heider and Marie Hoerova
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 162 (233,308)
Citation 2

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insurance, moral hazard, counterparty risk, margin requirements, derivatives

7.
Downloads 495 ( 73,594)
Citation 10

Interbank Lending, Credit Risk Premia and Collateral

ECB Working Paper No. 1107
Number of pages: 46 Posted: 13 Nov 2009
Florian Heider and Marie Hoerova
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 294 (132,365)

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Financial crisis, Interbank market, Liquidity, Credit risk, Collateral

Interbank Lending, Credit Risk Premia and Collateral

International Journal of Central Banking, Vol. 5, pp. 1-39
Number of pages: 37 Posted: 08 Dec 2009
Florian Heider and Marie Hoerova
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 201 (192,968)

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Financial crisis, Interbank market, Liquidity, Credit risk, Collateral

8.

Risk, Monetary Policy and Asset Prices in a Global World

Number of pages: 80 Posted: 15 May 2020 Last Revised: 19 Aug 2021
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia Business School - Finance and Economics, European Central Bank (ECB) and Boston College, Carroll School of Managementaffiliation not provided to SSRN
Downloads 462 (80,223)
Citation 23

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Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Interest rate

Variation Margins, Fire Sales, and Information-Constrained Optimum

Review of Economic Studies, accepted for publication
Number of pages: 78 Posted: 30 Nov 2015 Last Revised: 24 Apr 2020
Bruno Biais, Florian Heider and Marie Hoerova
University of Toulouse 1 - Toulouse School of Economics (TSE), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 361 (105,637)
Citation 2

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variation margins, fire sales, pecuniary externality, moral hazard, constrained efficiency, regulation

Variation Margins, Fire Sales, and Information-Constrained Optimality

Number of pages: 63 Posted: 24 Sep 2018
Bruno Biais, Florian Heider and Marie Hoerova
University of Toulouse 1 - Toulouse School of Economics (TSE), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (839,074)
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constrained efficiency, fire sales, macro-prudential regulation, Pecuniary externalities, variation margins

Lending-of-Last-Resort Is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

Journal of Financial Intermediation, Forthcoming
Number of pages: 58 Posted: 23 Sep 2015 Last Revised: 24 May 2016
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 231 (168,960)
Citation 25

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Lender-of-last-resort, Interbank Markets, Financial Crisis, Sovereign Debt Crisis, Central Bank Policy

Lending-of-Last-Resort is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

ECB Working Paper No. 1886
Number of pages: 62 Posted: 25 Feb 2016
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 49 (498,849)

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lender-of-last-resort, interbank markets, financial crisis, sovereign debt

Lending-of-Last-Resort is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

Number of pages: 62 Posted: 28 Oct 2015
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (839,074)
Citation 2
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central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis

11.

Benefits and Costs of Liquidity Regulation

ECB Working Paper No. 2169
Number of pages: 67 Posted: 19 Jul 2018
European Central Bank (ECB), European Central Bank (ECB) - Directorate General Research, European Central Bank (ECB), European Central Bank (ECB)European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 239 (163,991)
Citation 4

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Banking, Liquidity regulation, Capital requirements, Central bank, Lender-of-last-resort

12.

Commonality in Hedge Fund Returns: Driving Factors and Implications

Journal of Banking and Finance, Vol. 54, pp. 266-280, 2015
Number of pages: 47 Posted: 05 Apr 2012 Last Revised: 24 Sep 2015
Banque de France, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 213 (182,951)
Citation 14

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Hedge funds, Commonality, Risk factors, Liquidity, Financial crisis

13.

On Collateral: Implications for Financial Stability and Monetary Policy

ECB Working Paper No. 2107
Number of pages: 51 Posted: 10 Nov 2017
Stefano Corradin, Florian Heider and Marie Hoerova
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 145 (255,265)
Citation 3

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Repo, Haircuts, Margins, Central-Clearing Counterparties, Central Bank Policies

14.
Downloads 144 (256,719)
Citation 5

Money Markets, Collateral and Monetary Policy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-79
Number of pages: 67 Posted: 22 Nov 2018
Fiorella De Fiore, Marie Hoerova and Harald Uhlig
Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) and University of Chicago - Department of Economics
Downloads 100 (336,539)

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Money Markets, Collateral and Monetary Policy

ECB Working Paper No. 2239 (2019); ISBN 978-92-899-3501-2
Number of pages: 70 Posted: 14 Feb 2019
Fiorella De Fiore, Marie Hoerova and Harald Uhlig
Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) and University of Chicago - Department of Economics
Downloads 38 (552,832)

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money markets, liquidity, collateral, monetary policy

Money Markets, Collateral and Monetary Policy

Number of pages: 67 Posted: 03 Dec 2018 Last Revised: 06 Sep 2021
Fiorella De Fiore, Marie Hoerova and Harald Uhlig
Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) and University of Chicago - Department of Economics
Downloads 6 (789,247)
Citation 2

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Money Markets, Collateral and Monetary Policy

Number of pages: 69 Posted: 26 Nov 2018
Fiorella De Fiore, Marie Hoerova and Harald Uhlig
Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) and University of Chicago - Department of Economics
Downloads 0
Citation 2
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Eurozone, haircuts, money markets, unsecured interbank market

15.

Do Non-Banks Need Access to the Lender of Last Resort? Evidence from Fund Runs

Number of pages: 40 Posted: 11 May 2021 Last Revised: 29 Oct 2021
European Central Bank (ECB) - Financial Research, European Central Bank, Financial Research Division and European Central Bank (ECB)
Downloads 130 (277,864)

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Investment funds, COVID-19 liquidity crisis, lender of last resort, central bank liquidity provision, asset purchases

16.

Money Market Discipline and Central Bank Lending

Number of pages: 40 Posted: 30 May 2016
Marie Hoerova and Cyril Monnet
European Central Bank (ECB) and University of Bern
Downloads 125 (286,224)
Citation 4

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Asymmetric information, Money market, Rationing, Collateral, Central bank

17.
Downloads 117 (300,138)
Citation 5

Money Talks

Number of pages: 30 Posted: 22 Aug 2009 Last Revised: 21 Nov 2019
European Central Bank (ECB), University of Bern and Rice University
Downloads 48 (503,413)
Citation 2

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Information, Interest rates, Monetary policy

Money Talks

ECB Working Paper No. 1091
Number of pages: 38 Posted: 16 Oct 2009
European Central Bank (ECB), University of Bern and Rice University
Downloads 36 (563,836)

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information, interest rates, monetary policy

Money Talks

Economics Letters, Vol. 116, No. 3, pp. 617-621, 2012
Number of pages: 35 Posted: 28 Apr 2012 Last Revised: 17 Sep 2015
European Central Bank (ECB), University of Bern and Rice University
Downloads 33 (581,107)

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Information, Interest rates, Monetary policy

18.

Clearing, Counterparty Risk and Aggregate Risk

ECB Working Paper No. 1481
Number of pages: 49 Posted: 18 Oct 2012
Bruno Biais, Florian Heider and Marie Hoerova
University of Toulouse 1 - Toulouse School of Economics (TSE), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 92 (352,452)
Citation 6

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Risk-sharing, moral hazard, optimal contracting, counterparty risk, central clearing counterparty, mutualization, aggregate and idiosyncratic risk

19.

Run-Prone Banking and Asset Markets

ECB Working Paper No. 845
Number of pages: 41 Posted: 21 Dec 2007
Marie Hoerova
European Central Bank (ECB)
Downloads 82 (378,189)

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Bank runs, Asset markets, Liquidity, Financial stability, Mechanism design

20.

Commonality in Hedge Fund Returns: Driving Factors and Implications

ECB Working Paper No. 1658
Number of pages: 51 Posted: 20 Mar 2014
Banque de France, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 77 (392,282)

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hedge funds, commonality, risk factors, liquidity, financial crisis

21.

Money Markets, Central Bank Balance Sheet and Regulation

ECB Working Paper No. 20202483
Number of pages: 46 Posted: 21 Oct 2020 Last Revised: 18 Nov 2021
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB)European Central Bank (ECB) and European Central Bank (ECB)
Downloads 66 (426,642)

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22.

Variation margins, fire sales, and information-constrained optimality

ECB Working Paper No. 2191
Number of pages: 69 Posted: 31 Oct 2018
Bruno Biais, Florian Heider and Marie Hoerova
University of Toulouse 1 - Toulouse School of Economics (TSE), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 37 (545,961)
Citation 2

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variation margins, fire sales, pecuniary externalities, constrained efficiency, macro-prudential regulation