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The Financial Crisis of 2008 in Fixed Income MarketsGerald P. DwyerUniversity of Carlos III; Clemson University; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) Paula A. TkacFederal 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 Abstract: 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, G28 Accepted Paper SeriesDate posted: August 31, 2009 ; Last revised: October 16, 2009Suggested CitationContact Information
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