Revenge of the steamroller: ABCP as a window on risk choices
We empirically examine financial institutions' motivations to take systematic bad-tail risk in the form of sponsorship of credit-arbitrage asset-backed commercial paper vehicles. A run on debt issued by such vehicles played a key role in causing and propagating the liquidity crisis that began in the summer of 2007. We find evidence consistent with important roles for both owner-manager agency problems and government-induced distortions, especially government control or ownership of banks.
|Date of creation:||2013|
|Contact details of provider:|| Postal: 20th Street and Constitution Avenue, NW, Washington, DC 20551|
Web page: http://www.federalreserve.gov/
More information through EDIRC
|Order Information:||Web: http://www.federalreserve.gov/pubs/ifdp/order.htm|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, "undated".
"A Model of Shadow Banking,"
19521, Harvard University OpenScholar.
- Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert W., 2013. "A Model of Shadow Banking," Scholarly Articles 11688792, Harvard University Department of Economics.
- Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2012. "A Model of Shadow Banking," Working Papers 576, Barcelona Graduate School of Economics.
- Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2011. "A Model of Shadow Banking," NBER Working Papers 17115, National Bureau of Economic Research, Inc.
- Nicola Gennaioli, 2012. "A Model of Shadow Banking," 2012 Meeting Papers 89, Society for Economic Dynamics.
- Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2011. "A model of shadow banking," Economics Working Papers 1283, Department of Economics and Business, Universitat Pompeu Fabra, revised May 2012.
- Acharya, Viral V. & Schnabl, Philipp & Suarez, Gustavo, 2013.
"Securitization without risk transfer,"
Journal of Financial Economics,
Elsevier, vol. 107(3), pages 515-536.
- Viral V. Acharya & Philipp Schnabl & Gustavo Suarez, 2010. "Securitization without risk transfer," NBER Working Papers 15730, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Schnabl, Philipp & Suarez, Gustavo, 2012. "Securitization Without Risk Transfer," CEPR Discussion Papers 8769, C.E.P.R. Discussion Papers.
- Reint Gropp & Hendrik Hakenes & Isabel Schnabel, 2011.
"Competition, Risk-shifting, and Public Bail-out Policies,"
Review of Financial Studies,
Society for Financial Studies, vol. 24(6), pages 2084-2120.
- Reint Gropp & Hendrik Hakenes & Isabel Schnabel, 2010. "Competition, Risk-Shifting,and Public Bail-out Policies," Working Paper Series of the Max Planck Institute for Research on Collective Goods 2010_05, Max Planck Institute for Research on Collective Goods.
- Reint Gropp & Hendrik Hakenes & Isabel Schnabel, 2010. "Competition, Risk-Shifting, and Public Bail-out Policies," Working Papers 1003, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 14 Jan 2010.
- Xavier Gabaix & Augustin Landier, 2006.
"Why Has CEO Pay Increased So Much?,"
2006 Meeting Papers
518, Society for Economic Dynamics.
- Harald Hau & Marcel Thum, 2009. "Subprime Crisis and Board (In-)Competence: Private vs. Public Banks in Germany," CESifo Working Paper Series 2640, CESifo Group Munich.
- Erel, Isil & Nadauld, Taylor & Stulz, Rene M., 2011.
"Why Did U.S. Banks Invest in Highly-Rated Securitization Tranches?,"
Working Paper Series
2011-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Isil Erel & Taylor D. Nadauld & René M. Stulz, 2011. "Why Did U.S. Banks Invest in Highly-Rated Securitization Tranches?," NBER Working Papers 17269, National Bureau of Economic Research, Inc.
- Gary Gorton & Nicholas S. Souleles, 2005.
"Special purpose vehicles and securitization,"
05-21, Federal Reserve Bank of Philadelphia.
- Santiago Carbo-Valverde & Edward J. Kane & Francisco Rodriguez-Fernandez, 2011.
"Safety-net benefits conferred on difficulty-to-fail-and-unwind banks in the U.S. and EU before and during the Great Recession,"
1132, Federal Reserve Bank of Chicago.
- Carbó-Valverde, Santiago & Kane, Edward J. & Rodriguez-Fernandez, Francisco, 2013. "Safety-net benefits conferred on difficult-to-fail-and-unwind banks in the US and EU before and during the great recession," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1845-1859.
- Santiago Carbo-Valverde & Edward J. Kane & Francisco Rodriguez-Fernandez, 2011. "Safety-Net Benefits Conferred on Difficult-to-Fail-and-Unwind Banks in the US and EU Before and During the Great Recession," NBER Working Papers 16787, National Bureau of Economic Research, Inc.
- Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2012.
"Sizing Up Repo,"
NBER Working Papers
17768, National Bureau of Economic Research, Inc.
- Luis Brandao-Marques & Ricardo Correa & Horacio Sapriza, 2013.
"International evidence on government support and risk taking in the banking sector,"
International Finance Discussion Papers
1086, Board of Governors of the Federal Reserve System (U.S.).
- Luis BrandÃ£o Brandao Marques & Ricardo Correa & Horacio Sapriza, 2013. "International Evidence on Government Support and Risk Taking in the Banking Sector," IMF Working Papers 13/94, International Monetary Fund.
- Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010.
"Rare Disasters and Risk Sharing with Heterogeneous Beliefs,"
NBER Working Papers
16035, National Bureau of Economic Research, Inc.
- Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2012. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2189-2224.
- Christina E. Bannier & Eberhard Feess & Natalie Packham, 2013. "Competition, Bonuses, and Risk-taking in the Banking Industry," Review of Finance, European Finance Association, vol. 17(2), pages 653-690.
- Daniel Covitz & Nellie Liang & Gustavo A. Suarez, 2013. "The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market," Journal of Finance, American Finance Association, vol. 68(3), pages 815-848, 06.
When requesting a correction, please mention this item's handle: RePEc:fip:fedgif:1076. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Franz Osorio)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.