Dynamic debt runs and financial fragility: Evidence from the 2007 ABCP crisis

• 成果类型: Article
• 署名作者: Schroth, Enrique; Suarez, Gustavo A.; Taylor, Lucian A.
• 署名单位: City St Georges, University of London; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.01.002
• 发表日期: 2014
• 页码: 164-189
• 关键词: RUNS; financial crises; structural estimation; Asset-backed commercial paper

摘要

We use the 2007 asset-backed commercial paper (ABCP) crisis as a laboratory to study the determinants of debt runs. Our model features dilution risk: maturing short-term lenders demand higher yields in compensation for being diluted by future lenders, making runs more likely. The model explains the observed tenfold increase in yield spreads leading to runs and the positive relation between yield spreads and future runs. Results from structural estimation show that runs are very sensitive to leverage, asset values, and asset liquidity, but less sensitive to the degree of maturity mismatch, the strength of guarantees, and asset volatility. (C) 2014 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/3.0/).