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A Model of a Systemic Bank Run
Uhlig, Harald - 2009
I conclude from that that the variant with uncertainty averse investors is more suitable to analyze policy implications. This paper therefore provides a model, in which the outright purchase of troubled assets by the government at prices above current market prices may both alleviate the...
Persistent link: https://www.econbiz.de/10012463577
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Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial Paper During the Financial Crisis of 2007-09
Acharya, Viral V. - 2010
manufactured riskless assets of $1.2 trillion by selling short-term ABCP to risk-averse investors, predominantly U.S. money market …
Persistent link: https://www.econbiz.de/10012462576
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Securitization without risk transfer
Acharya, Viral V. - 2010
We analyze asset-backed commercial paper conduits which played a central role in the early phase of the financial crisis of 2007-09. We document that commercial banks set up conduits to securitize assets while insuring the newly securitized assets using credit guarantees. The credit guarantees...
Persistent link: https://www.econbiz.de/10012462921
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Prepayment Risk and Expected MBS Returns
Diep, Peter - 2016
MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …
Persistent link: https://www.econbiz.de/10012455829
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Adaptation Using Financial Markets : Climate Risk Diversification through Securitization
Kahn, Matthew E.; Ouazad, Amine; Yönder, Erkan - National Bureau of Economic Research - 2024
In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …
Persistent link: https://www.econbiz.de/10014512098
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CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009
Stanton, Richard - 2010
This paper analyzes the performance of the commercial mortgage-backed security (CMBS) market before and during the recent financial crisis. Using a comprehensive sample of CMBS deals from 1996 to 2008, we show that (unlike the residential mortgage market) the loans underlying CMBS did not...
Persistent link: https://www.econbiz.de/10012462449
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Balance Sheet Adjustments in the 2008 Crisis
He, Zhiguo - 2010
We measure how securitized assets, including mortgage-backed securities and other asset-backed securities, have shifted across financial institutions over this crisis and how the availability of financing has accommodated such shifts. Sectors dependent on repo financing - in particular, the...
Persistent link: https://www.econbiz.de/10012462732
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Optimal Monetary Policy in a Collateralized Economy
Gorton, Gary - 2016
In the last forty or so years the U.S. financial system has morphed from a mostly insured retail deposit-based system into a system with significant amounts of wholesale short-term debt that relies on collateral, and in particular Treasuries, which have a convenience yield. In the new economy...
Persistent link: https://www.econbiz.de/10012456080
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The Real Effects of Liquidity During the Financial Crisis : Evidence from Automobiles
Benmelech, Efraim - 2016
Illiquidity in short-term credit markets during the financial crisis might have severely curtailed the supply of non-bank consumer credit. Using a new data set linking every car sold in the United States to the credit supplier involved in each transaction, we find that the collapse of the...
Persistent link: https://www.econbiz.de/10012456527
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Breaking the Spell with Credit-Easing : Self-Confirming Credit Crises in Competitive Search Economies
Gaballo, Gaetano - 2016
. Nevertheless, credit crises - where high interest rates self-confirm high credit risk - can arise when lenders have correct beliefs …
Persistent link: https://www.econbiz.de/10012456667