The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market

• 成果类型: Article
• 署名作者: Covitz, Daniel; Liang, Nellie; Suarez, Gustavo A.
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12023
• 发表日期: 2013
• 页码: 815-848
• 关键词: banking panics; liquidity; RISK; management; contagion

摘要

This paper documents runs on asset-backed commercial paper (ABCP) programs in 2007. We find that one-third of programs experienced a run within weeks of the onset of the ABCP crisis and that runs, as well as yields and maturities for new issues, were related to program-level and macro-financial risks. These findings are consistent with the asymmetric information framework used to explain banking panics, have implications for commercial paper investors' degree of risk intolerance, and inform empirical predictions of recent papers on dynamic coordination failures.