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Securitized Banking and the Run on Repo
Gorton, Gary B. - 2010
markets that had no connection to housing. We find that changes in the "LIB-OIS" spread, a proxy for counterparty risk, was …
Persistent link: https://www.econbiz.de/10013151390
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The Run on Repo and the Fed's Response
Gorton, Gary B. - 2018
The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase (“repo”) market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo...
Persistent link: https://www.econbiz.de/10012913789
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Who Ran on Repo?
Gorton, Gary B. - 2012
The sale and repurchase (repo) market played a central role in the recent financial crisis. From the second quarter of 2007 to the first quarter of 2009, net repo financing provided to U.S. banks and broker-dealers fell by about $1.3 trillion - more than half of its pre-crisis total. Significant...
Persistent link: https://www.econbiz.de/10013099413
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Sizing Up Repo
Krishnamurthy, Arvind - 2012
We measure the repo funding extended by money market funds (MMF) and securities lenders to the shadow banking system, including quantities, haircuts, and repo rates by type of underlying collateral. We find that repo played only a small role in funding private sector assets prior to the crisis,...
Persistent link: https://www.econbiz.de/10013112165
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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/10013144301
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon - 2023
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10014351701
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Real Versus Pseudo-International Systemic Risk : Some Lessons from History
Bordo, Michael D. - 2010
This paper considers the meaning of domestic and international systemic risk. It examines scenarios that have been … adduced as creating systemic risk both within countries and among them. It distinguishes between the concepts of real and … pseudo-systemic risk. We examine the history of episodes commonly viewed either as financial crises or as evidencing systemic …
Persistent link: https://www.econbiz.de/10012763704
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Risks in China's Financial System
Song, Zheng (Michael) - 2018
: (1) financial crisis is unlikely to happen in the near future, and (2) the ultimate risk lies with China's economic …
Persistent link: https://www.econbiz.de/10012929553
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Macro, Money and Finance : A Continuous Time Approach
Brunnermeier, Markus K. - 2016
analyze endogenous (1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the …, (7) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis …
Persistent link: https://www.econbiz.de/10012989115
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The Macroeconomic Impact of Financial and Uncertainty Shocks
Caldara, Dario - 2016
The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically...
Persistent link: https://www.econbiz.de/10012997363