Were there fire sales in the RMBS market?

• 成果类型: Article
• 署名作者: Merrill, Craig B.; Nadauld, Taylor D.; Stulz, Rene M.; Sherlun, Shane M.
• 署名单位: Brigham Young University; Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Ohio; Ohio State University; National Bureau of Economic Research; University of Pennsylvania; European Corporate Governance Institute
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.05.007
• 发表日期: 2021
• 页码: 17-37
• 关键词: Fire sales; RMBS; Capital requirement; Mark-to-market accounting; Subprime crisis

摘要

Many observers have argued that the fall in RMBS prices during the crisis was partly caused by fire sales. Using a unique dataset of RMBS transactions for insurance compa-nies, we show evidence supportive of a role, at the transaction level, of forced sales that occurred at discounted prices relative to fundamentals, and find that the RMBS market behaved as a whole as would be expected in the presence of fire sales. We show that risk -sensitive capital requirements and mark-to-market accounting can jointly create incentives for financial institutions subject to adverse capital shocks to sell stressed securities. (c) 2021 Elsevier B.V. All rights reserved.