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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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  • Daniel M. Covitz & J. Nellie Liang & Gustavo A. Suarez, 2009. "The anatomy of a financial crisis: the evolution of panic-driven runs in the asset-backed commercial paper market," Proceedings, Federal Reserve Bank of San Francisco, issue Jan, pages 1-36.
    • Handle: RePEc:fip:fedfpr:y:2009:i:jan:x:5
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    1. 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.
    2. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Win), pages 14-23.
    3. Gary B. Gorton & Nicholas S. Souleles, 2007. "Special Purpose Vehicles and Securitization," NBER Chapters, in: The Risks of Financial Institutions, pages 549-597, National Bureau of Economic Research, Inc.
    4. Gorton, Gary, 1988. "Banking Panics and Business Cycles," Oxford Economic Papers, Oxford University Press, vol. 40(4), pages 751-781, December.
    5. María Soledad Martínez-Peria & Sergio Schmukler, 2002. "Do Depositors Punish Banks for Bad Behavior? Market Discipline, Deposit Insurance, and Banking Crises," Central Banking, Analysis, and Economic Policies Book Series, in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 5, pages 143-174, Central Bank of Chile.
    6. Downing, Chris & Oliner, Stephen, 2007. "The term structure of commercial paper rates," Journal of Financial Economics, Elsevier, vol. 83(1), pages 59-86, January.
    7. 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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    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, 2012. "Dynamic Debt Runs," The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1799-1843.
    3. Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
    4. Małgorzata Karaś, 2013. "FFR Level in the Period 2000-2007 and the Emergence of the Asset Price Bubble on the US Real Estate Market," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 33.
    5. Kozubovska, Mariolia, 2017. "The effect of US bank holding companies’ exposure to asset-backed commercial paper conduits on the information opacity and systemic risk," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 530-545.
    6. Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2020. "Crisis transmission: Visualizing vulnerability," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
    7. Héctor Pérez Saiz & Siddharth Untawala & Gabriel Xerri, 2018. "A Calibrated Model of Intraday Settlement," Discussion Papers 18-3, Bank of Canada.

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    Commercial paper; Financial crises;

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