Merrill, Craig B.; Nadauld, Taylor D.; Stulz, René M.; … - 2014
Many observers have argued that the fall in RMBS prices during the crisis was partly caused by fire sales. We provide … an explanation for why financial institutions may have engaged in fire sales using a unique dataset of RMBS transactions … risk can make it too expensive to hold such securities. Further, we find that, in general, RMBS prices behaved as would be …