Keywords
risk decisions, systemic risk, bank runs, financial crisis, commercial paper
Abstract
We empirically examine financial institutions’ motivations to take systematic bad-tail risk in the form of sponsorship of credit-arbitrage asset-backed commercial paper vehicles. A run on debt issued by such vehicles played a key role in causing and propagating the liquidity crisis that began in the summer of 2007. We find evidence consistent with important roles for both ownermanager agency problems and government-induced distortions, especially government control or ownership of banks.
Original Publication Citation
Revenge of the Steamroller: ABCP as a Window on Risk Choices (with Carlos Arteta, Mark Carey, and Ricardo Correa), 2020, Review of Finance 24, 497–528.
BYU ScholarsArchive Citation
Arteta, Carlos; Carey, Mark; Correa, Ricardo; and Kotter, Jason, "Revenge of the Steamroller: ABCP as a Window on Risk Choices" (2013). Faculty Publications. 9197.
https://scholarsarchive.byu.edu/facpub/9197
Document Type
Peer-Reviewed Article
Publication Date
2013
Publisher
Review of Finance
Language
English
College
Marriott School of Business
Department
Finance
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