55 Pages Posted: 22 Mar 2009 Last revised: 12 Apr 2012
Date Written: April 5, 2012
This paper documents “runs” on asset-backed commercial paper (ABCP) programs using a novel dataset of all transactions in the U.S. market during its severe contraction in 2007. We find that one-third of programs were 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. The findings are consistent with the asymmetric information framework used to explain banking panics, have implications for the degree of risk-intolerance of commercial paper investors, and inform upon empirical predictions of recent papers on dynamic coordination failures.
Keywords: Commercial paper, asset-backed commercial paper, bank runs, financial crisis
JEL Classification: G01, G10, G21
Suggested Citation: Suggested Citation
Covitz, Daniel M. and Liang, Nellie and Suarez, Gustavo, The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market (April 5, 2012). Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1364576 or http://dx.doi.org/10.2139/ssrn.1364576