The Financial Crisis of 2008 in Fixed Income Markets
Gerald P. Dwyer
Clemson University; University of Carlos III; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Paula A. Tkac
Federal Reserve Banks - Federal Reserve Bank of Atlanta
August 1, 2009
Journal of International Money and Finance, Forthcoming
Federal Reserve Bank of Atlanta Working Paper Series No. 2009-20
We explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008. The drivers of the financial turmoil and the financial crisis of 2008 were heterogeneous securities that were hard to value. These securities created concerns about counterparty risk and ultimately created substantial uncertainty. The problems spread in ways that were hard to see in advance. The run on prime money market funds in September 2008 and the effects on commercial paper were an important aspect of the crisis itself and are discussed in some detail.
Number of Pages in PDF File: 52
Keywords: financial crisis, contagion, collateralized debt obligations, ABX, money market funds
JEL Classification: G01, G21, G23, G28Accepted Paper Series
Date posted: August 31, 2009 ; Last revised: July 5, 2014
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