资产(计算机安全)
金融危机
宏
经济
业务
金融体系
系统性风险
货币经济学
金融经济学
宏观经济学
计算机科学
计算机安全
程序设计语言
作者
Daniel M. Covitz,Nellie Liang,Gustavo A. Suárez
摘要
ABSTRACT This paper documents “runs” on asset‐backed commercial paper (ABCP) programs in 2007. We find that one‐third of programs experienced a run within weeks of the onset of the ABCP crisis and that runs, as well as yields and maturities for new issues, were related to program‐level and macro‐financial risks. These findings are consistent with the asymmetric information framework used to explain banking panics, have implications for commercial paper investors’ degree of risk intolerance, and inform empirical predictions of recent papers on dynamic coordination failures.
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