The Fragility of Discretionary Liquidity Provision - Lessons from the Collapse of the Auction Rate Securities Market
نویسندگان
چکیده
منابع مشابه
Liquidity, Runs, and Security Design: Lessons from the Collapse of the Auction Rate Municipal Bond Market
In this paper, we use the recent collapse of the ARS market as a case study on important issues regarding fragility of financial innovations and systemic risks. We find strong evidence of investor runs for liquidity, partly caused by a self-fulfilling panic. In addition, coordination failures triggered by an unexpected first mover led all major broker-dealers to simultaneously withdraw their li...
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15 صفحه اولLiquidity Crisis, Runs, and Security Design Lessons from the Collapse of the Auction Rate Municipal Bond Market
In this paper, we use the recent collapse of the ARS market as the laboratory to study issues on the fragility of financial innovations and systemic risks. We find strong evidence of investor runs for liquidity—partly caused by a self-fulfilling panic—and coordination failures among major broker-dealers in providing liquidity support. The two forces amplify each other dynamically, resulting in ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1898324