The Financial Crisis of 2008 in Fixed Income Markets

Journal of International Money and Finance, Forthcoming

Federal Reserve Bank of Atlanta Working Paper Series No. 2009-20

52 Pages Posted: 31 Aug 2009 Last revised: 5 Jul 2014

See all articles by Gerald P. Dwyer

Gerald P. Dwyer

Clemson University; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

Paula A. Tkac

Federal Reserve Banks - Federal Reserve Bank of Atlanta

Date Written: August 1, 2009

Abstract

We explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008. The drivers of the financial turmoil and the financial crisis of 2008 were heterogeneous securities that were hard to value. These securities created concerns about counterparty risk and ultimately created substantial uncertainty. The problems spread in ways that were hard to see in advance. The run on prime money market funds in September 2008 and the effects on commercial paper were an important aspect of the crisis itself and are discussed in some detail.

Keywords: financial crisis, contagion, collateralized debt obligations, ABX, money market funds

JEL Classification: G01, G21, G23, G28

Suggested Citation

Dwyer, Gerald P. and Tkac, Paula A., The Financial Crisis of 2008 in Fixed Income Markets (August 1, 2009). Journal of International Money and Finance, Forthcoming, Federal Reserve Bank of Atlanta Working Paper Series No. 2009-20, Available at SSRN: https://ssrn.com/abstract=1464891

Gerald P. Dwyer (Contact Author)

Clemson University ( email )

Department of Economics
Clemson University
Clemson, SC 29634
United States

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

Paula A. Tkac

Federal Reserve Banks - Federal Reserve Bank of Atlanta ( email )

1000 Peachtree Street, NE
Atlanta, GA 30309-4470
United States
404-498-8813 (Phone)
404-498-8810 (Fax)

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