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The financial crisis of 2008 in fixed income markets

  • Gerald P. Dwyer
  • Paula A. Tkac

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.

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Paper provided by Federal Reserve Bank of Atlanta in its series FRB Atlanta Working Paper with number 2009-20.

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Date of creation: 2009
Date of revision:
Handle: RePEc:fip:fedawp:2009-20
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  1. Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
  2. Naohiko Baba & Robert N McCauley & Srichander Ramaswamy, 2009. "US dollar money market funds and non-US banks," BIS Quarterly Review, Bank for International Settlements, March.
  3. Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2009. "Vintage and credit rating: what matters in the ABX data during the credit crunch?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  4. Margarita Samartin & Gerald Dwyer, 2004. "Why do Banks Promise to Pay Par on Demand?," 2004 Meeting Papers 180c, Society for Economic Dynamics.
  5. Ashcraft, Adam B. & Schuermann, Til, 2008. "Understanding the Securitization of Subprime Mortgage Credit," Foundations and Trends(R) in Finance, now publishers, vol. 2(3), pages 191-309, June.
  6. Gorton, Gary B., 2008. "The panic of 2007," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 131-262.
  7. Milne , Alistair & Wood, Geoffrey, 2008. "Shattered on the Rock? British financial stability from 1866 to 2007," Research Discussion Papers 30/2008, Bank of Finland.
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