The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market
55 Pages Posted: 22 Mar 2009 Last revised: 12 Apr 2012
There are 2 versions of this paper
The Evolution of a Financial Crisis: Panic in the Asset-Backed Commercial Paper Market
Date Written: April 5, 2012
Abstract
This paper documents “runs” on asset-backed commercial paper (ABCP) programs using a novel dataset of all transactions in the U.S. market during its severe contraction in 2007. We find that one-third of programs were 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. The findings are consistent with the asymmetric information framework used to explain banking panics, have implications for the degree of risk-intolerance of commercial paper investors, and inform upon empirical predictions of recent papers on dynamic coordination failures.
Keywords: Commercial paper, asset-backed commercial paper, bank runs, financial crisis
JEL Classification: G01, G10, G21
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Securitized Banking and the Run on Repo
By Gary B. Gorton and Andrew Metrick
-
Securitization Without Risk Transfer
By Viral V. Acharya, Philipp Schnabl, ...
-
Securitization Without Risk Transfer
By Viral V. Acharya, Philipp Schnabl, ...
-
Securitization Without Risk Transfer
By Viral V. Acharya, Philipp Schnabl, ...
-
Rollover Risk and Market Freezes
By Viral V. Acharya, Douglas M. Gale, ...
-
Rollover Risk and Market Freezes
By Viral V. Acharya, Douglas M. Gale, ...
-
Rollover Risk and Market Freezes
By Viral V. Acharya, Douglas M. Gale, ...
-
Rollover Risk and Market Freezes
By Viral V. Acharya, Douglas M. Gale, ...
-
By Andrei Shleifer and Robert W. Vishny
-
By Andrei Shleifer and Robert W. Vishny