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Haircuts

Author

Listed:
  • Andrew Metrick
  • Gary Gorton

Abstract

When 'confidence' is lost, 'liquidity dries up.' We investigate the mean

Suggested Citation

  • Andrew Metrick & Gary Gorton, 2009. "Haircuts," Yale School of Management Working Papers amz2395, Yale School of Management, revised 01 Sep 2009.
  • Handle: RePEc:ysm:somwrk:amz2395
    as

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    File URL: http://icfpub.som.yale.edu/publications/2395
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    Other versions of this item:

    • Gary Gorton & Andrew Metrick, 2010. "Haircuts," Review, Federal Reserve Bank of St. Louis, vol. 92(Nov), pages 507-520.

    References listed on IDEAS

    as
    1. Charles W. Calomiris & Gary Gorton, 1991. "The Origins of Banking Panics: Models, Facts, and Bank Regulation," NBER Chapters, in: Financial Markets and Financial Crises, pages 109-174, National Bureau of Economic Research, Inc.
    2. Simon H. Kwan, 1996. "On the relation between stocks and bonds, part I," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun28.
    3. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    4. Blume, Marshall E & Keim, Donald B & Patel, Sandeep A, 1991. "Returns and Volatility of Low-Grade Bonds: 1977-1989," Journal of Finance, American Finance Association, vol. 46(1), pages 49-74, March.
    5. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    6. Mr. Manmohan Singh & James Aitken, 2009. "Deleveraging After Lehman: Evidence From Reduced Rehypothecation," IMF Working Papers 2009/042, International Monetary Fund.
    7. Gorton, Gary & Mullineaux, Donald J, 1987. "The Joint Production of Confidence: Endogenous Regulation and Nineteenth Century Commercial-Bank Clearinghouses," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(4), pages 457-468, November.
    8. Gorton, Gary, 1988. "Banking Panics and Business Cycles," Oxford Economic Papers, Oxford University Press, vol. 40(4), pages 751-781, December.
    9. Kwan, Simon H., 1996. "Firm-specific information and the correlation between individual stocks and bonds," Journal of Financial Economics, Elsevier, vol. 40(1), pages 63-80, January.
    10. Peter Hördahl & Michael R King, 2008. "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, December.
    11. Gorton, Gary, 1985. "Clearinghouses and the Origin of Central Banking in the United States," The Journal of Economic History, Cambridge University Press, vol. 45(2), pages 277-283, June.
    12. Gorton, Gary & Pennacchi, George, 1990. "Financial Intermediaries and Liquidity Creation," Journal of Finance, American Finance Association, vol. 45(1), pages 49-71, March.
    13. Jacob Gyntelberg & Philip Wooldridge, 2008. "Interbank rate fixings during the recent turmoil," BIS Quarterly Review, Bank for International Settlements, March.
    14. Cornell, Bradford & Green, Kevin, 1991. "The Investment Performance of Low-Grade Bond Funds," Journal of Finance, American Finance Association, vol. 46(1), pages 29-48, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Economists' 'Inside Job' problem requires more than just disclosure
      by Richard in trust your instincts on 2012-01-18 00:43:00

    Citations

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    Cited by:

    1. Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    2. Claessens, Stijn & Ayhan Kose, M. & Terrones, Marco E., 2010. "The global financial crisis: How similar? How different? How costly?," Journal of Asian Economics, Elsevier, vol. 21(3), pages 247-264, June.
    3. Cochrane, John H., 2011. "Understanding policy in the great recession: Some unpleasant fiscal arithmetic," European Economic Review, Elsevier, vol. 55(1), pages 2-30, January.
    4. Tommaso Mancini Griffoli & Angelo Ranaldo, 2010. "Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity," Working Papers 2010-14, Swiss National Bank.
    5. Tommaso Trani, 2011. "Trade in secured debt, adjustment in haircuts and international portfolios," IHEID Working Papers 13-2011, Economics Section, The Graduate Institute of International Studies.
    6. Tommaso Trani, 2012. "Funding under Borrowing Limits in International Portfolios," IHEID Working Papers 01-2012, Economics Section, The Graduate Institute of International Studies, revised 14 Feb 2012.
    7. Manconi, Alberto & Massa, Massimo & Yasuda, Ayako, 2012. "The role of institutional investors in propagating the crisis of 2007–2008," Journal of Financial Economics, Elsevier, vol. 104(3), pages 491-518.
    8. M. Ayhan Kose, 2011. "Review of “This Time is Different: Eight Centuries of Financial Folly by Carmen M. Reinhart and Kenneth S. Rogoff”," Koç University-TUSIAD Economic Research Forum Working Papers 1106, Koc University-TUSIAD Economic Research Forum.

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    More about this item

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G3 - Financial Economics - - Corporate Finance and Governance

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