Acharya, Viral V.; Gale, Douglas; Yorulmazer, Tanju - National Bureau of Economic Research (NBER) - 2010
little credit risk. The borrowing in this model takes the form of a repurchase agreement ("repo") or asset-backed commercial … during the crisis for asset-backed securities with low credit risk once bad news about the underlying cash flows arrived. …" (the information state gets worse), or "no news" (the information state remains the same). When rollover risk is high …