Securitized banking and the run on repo英文.pdfVIP

Journal of Financial Economics 104 (2012) 425–451 Contents lists available at ScienceDirect Journal of Financial Economics journal homepage: /locate/jfec Securitized banking and the run on repo $ Gary Gorton a,b,n, Andrew Metrick a,b a Yale, USA b NBER, USA a r t i c l e i n f o a b s t r a c t Article history: The panic of 2007–2008 was a run on the sale and repurchase market (the repo market), Received 14 July 2010 which is a very large, short-term market that provides financing for a wide range of Received in revised form securitization activities and financial institutions. Repo transactions are collateralized, 4 November 2010 frequently with securitized bonds. We refer to the combination of securitization plus repo Accepted 9 November 2010 finance as ‘‘securitized banking’’ and argue that these activities were at the nexus of the Available online 13 April 2011 crisis. We use a novel data set that includes credit spreads for hundreds of securitized JEL classification: bonds to trace the path of the crisis from subprime-housing related assets into markets E0 that had no connection to housing. We find that changes in the LIB-OIS spread, a proxy for E32 counterparty risk, were strongly correlated with changes in credit sprea