Title of article :
Dynamic debt runs and financial fragility: Evidence from the 2007 ABCP crisis
Author/Authors :
Schroth، نويسنده , , Enrique and Suarez، نويسنده , , Gustavo A. and Taylor، نويسنده , , Lucian A.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2014
Pages :
26
From page :
164
To page :
189
Abstract :
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.
Keywords :
Runs , Financial Crises , Structural estimation , Asset-backed commercial paper
Journal title :
Journal of Financial Economics
Serial Year :
2014
Journal title :
Journal of Financial Economics
Record number :
2212825
Link To Document :
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