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The anatomy of a financial crisis: the evolution of panic-driven runs in the asset-backed commercial paper market

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Author Info

  • Covitz, Daniel
  • Liang, Nellie
  • Suarez, Gustavo

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File URL: http://www.frbsf.org/economics/conferences/0901/Covitz-Liang-Suarez.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of San Francisco in its journal Proceedings.

Volume (Year): (2009)
Issue (Month): Jan ()
Pages: 1-36

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Handle: RePEc:fip:fedfpr:y:2009:i:jan:x:5

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Related research

Keywords: Financial crises; Commercial paper;

References

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  1. Gary Gorton, 1986. "Banking panics and business cycles," Working Papers 86-9, Federal Reserve Bank of Philadelphia.
  2. Dan Covitz & Chris Downing, 2007. "Liquidity or Credit Risk? The Determinants of Very Short-Term Corporate Yield Spreads," Journal of Finance, American Finance Association, vol. 62(5), pages 2303-2328, October.
  3. Chris Downing & Stephen Oliner, 2004. "The term structure of commercial paper rates," Finance and Economics Discussion Series 2004-18, Board of Governors of the Federal Reserve System (U.S.).
  4. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 14-23.
  5. Charles W. Calomiris & Joseph R. Mason, 2003. "Fundamentals, Panics, and Bank Distress During the Depression," American Economic Review, American Economic Association, vol. 93(5), pages 1615-1647, December.
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Citations

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Cited by:
  1. Song Han & Dan Li, 2010. "The fragility of discretionary liquidity provision - lessons from the collapse of the auction rate securities market," Finance and Economics Discussion Series 2010-50, Board of Governors of the Federal Reserve System (U.S.).
  2. Zhiguo He & Wei Xiong, 2009. "Dynamic Debt Runs," NBER Working Papers 15482, National Bureau of Economic Research, Inc.
  3. Song Han & Dan Li, 2011. "The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market," Working Papers 052011, Hong Kong Institute for Monetary Research.

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