The Evolution of a Financial Crisis: Collapse of the Asset‐Backed Commercial Paper Market

DANIEL COVITZ; Nellie Liang; GUSTAVO A. SUAREZ

doi:10.1111/jofi.12023

journal article May 20, 2013

The Evolution of a Financial Crisis: Collapse of the Asset‐Backed Commercial Paper Market

DANIEL COVITZ Nellie Liang GUSTAVO A. SUAREZ

The Journal of Finance Vol. 68 No. 3 pp. 815-848 · Wiley

View at Publisher Save 10.1111/jofi.12023

Abstract

ABSTRACTThis 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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Details

Published: May 20, 2013
Vol/Issue: 68(3)
Pages: 815-848
License: View

Authors

Cite This Article

DANIEL COVITZ, Nellie Liang, GUSTAVO A. SUAREZ (2013). The Evolution of a Financial Crisis: Collapse of the Asset‐Backed Commercial Paper Market. The Journal of Finance, 68(3), 815-848. https://doi.org/10.1111/jofi.12023

The Evolution of a Financial Crisis: Collapse of the Asset‐Backed Commercial Paper Market

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