Information, Liquidity, and the (Ongoing) Panic of 2007

By Gary B. Gorton. 2009

309 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d1291dc338a507381a7d24aad83b73174e174e7a

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Citations in the corpus

Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk (2009, background): “Using the interest rate (30) and the portfolio choice (31), we can also show that banksexpected prots in Regime 1 are the same as in the benchmark case (18), 1(d1; d2) = (d1; d2).”
Credit Default Swaps: A Survey (2014, background): “HE subprime home equity loan price indices is emphasized by Gorton [2009], who explains how these indices allowed the market to aggregate and disseminate the information about the values of highly illiquid subprime mortgages once”
Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007 (2009, background): “Also see Gorton (2009).”
Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, unknown): “We consider August 2007 as the beginning of the sub-prime debt crisis in line with Gorton (2009) and hence the previous analysis is repeated over the period from August 2007 until December 2009.”
Financial Innovation, Regulation, and Reform (2009, background): “2 Repos grew so quickly that they came to exceed in size the total assets of the commercial banking system, as discussed in Gorton (2009).”
How Do Credit Supply Shocks Propagate Internationally? A Gvar Approach (2015, background): “…nancial institutions, as they raise capital, contract lending or dump illiquid assets in some countries to maintain global capital and liquid asset ratios when faced with loan losses (e.g. Enders et al. (2011)) or funding squeezes (Gorton (2009), Borio et al. (2011)) in other countries.”
Stress-Testing Macro Stress Testing: Does it Live Up to Expectations? (2012, unknown): “Disruptive spirals between market and funding liquidity risk played a crucial role in spreading distress after the Lehman failure (eg Brunnermeier (2009), Gorton (2009)), just as in previous episodes (eg Borio (2003)).”
Bank Risk-Taking, Securitization, Supervision and Low Interest Rates: Evidence from the Euro Area and the U.S. Lending Standards (2010, unknown): “For an exhaustive analysis of recent financial innovations in banking, see Gorton and Souleles (2005), Gorton (2008, 2009), and Gorton and Metrick (2009).”
Wholesale Banking and Bank Runs in Macroeconomic Modeling of Financial Crises (2016, methodology): “Our narrative is based on indirect evidence coming from ABX spreads as documented for example in Gorton (2009). n Covitz et al. (2013) provide a detailed description of the run on ABCP programs in 2007.”