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.
Year of publication: |
2013
|
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Authors: | Arteta, Carlos ; Carey, Mark ; Correa, Ricardo ; Kotter, Jason |
Institutions: | Federal Reserve Board (Board of Governors of the Federal Reserve System) |
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