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Uhlig, Harald - 2010

The 2008 financial crisis is reminiscent of a bank run, but not quite. In particular, it is financial institutions withdrawing deposits from some core financial institutions, rather than depositors running on their local bank. These core financial institutions have invested the funds in...

Persistent link: https://www.econbiz.de/10013152502

Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial Paper During the Financial Crisis of 2007-09

Acharya, Viral V.; Schnabl, Philipp - 2021

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/10013224410

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/10013148006

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/10012978841

Abs Inflows to the United States and the Global Financial Crisis

Bertaut, Carol C. - 2011

The "global saving glut" (GSG) hypothesis argues that the surge in capital inflows from emerging market economies to the United States led to significant declines in long-term interest rates in the United States and other industrial economies. In turn, these lower interest rates, when combined...

Persistent link: https://www.econbiz.de/10013121035

Securitization

Gorton, Gary B. - 2012

We survey the literature on securitization and lay out a research program for its open questions. Securitization is the process by which loans, previously held to maturity on the balance sheets of financial intermediaries, are sold in capital markets. Securitization has grown from a small amount...

Persistent link: https://www.econbiz.de/10013096477

Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?

Merrill, Craig B. - 2012

Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital...

Persistent link: https://www.econbiz.de/10013102712

Optimal Monetary Policy in a Collateralized Economy

Gorton, Gary B. - 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/10012983667

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/10012994914

The Rise and Fall of Demand for Securitizations

Chernenko, Sergey - 2014

Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however, about the underlying forces that drove investor demand for these securitizations. Using micro-data on...

Persistent link: https://www.econbiz.de/10013039755

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